I dont know how to share the videos. I have the videos in a folder, how do I share the folder?
You need a crash course in Home Networking 101. You need to look in the Windows Help material, and start googling for additional info. Home networking (and sharing) is relatively easy -- once you learn how to do the fundamentals.
Also, unless you have a robust (fast) home network, your streaming may be problematic; especially if using wireless versus wired connection. Suggest you get a hard drive for the WDTV Live and play the mkv files that way for now, i.e. via a direct connection to the media player.