I've found out that MKV files play just fine on WMP12 (Win 7 64-bit). However, in Windows Explorer, no thumbnails for such files are there and in the information panel at the bottom, no information about the length of the video is shown.
I wonder if installing CCCP would fix these 2 issues and/or improve the playability of MKV even further.
If not, what else can I do to fix them?