Uh, MKV?

So I've been downloading anime lately, and I have a question. This certain site I go to has 26 episodes of an anime I want to download. I have downloaded at least half of the episodes, they're all in AVI format. The newer formats are in "MKV", first of, what is that? Secondly, how can I convert it to AVI? I know there's a software for that, but is there a free trial-issue one? If so, what is it called and how can I find it?

Or is there an easier way? Also, I can't seem to watch this "MKV" format video in WMP, RealPlayer, Media Player Classic, or any of that. >_>; -annoyed-