Hi there
if any mkv file says it needs extra objects / downloads to play it then it's not a genuine mkv file.

mkv is only a container -- like mp4 etc. The video if it conforms to the matroska standard will play in VLC --if it doesn't then I would be 100% suspicious of the file.

What is an MKV File and How Do You Play Them?

Cheers
jimbo