WD Live Plus Not recognizing MKV files

If you have not installed a media server, it will be the Windows Media server you are selecting and .mkv’s are not supported.

On your WD player you have to select Network shares and not media server. Network shares allows you to see all your media.

   It is not actually a Media Server it is just my PC.

I don’t think you understand the previous comments:  Your PC (a Win 7 ?) is a media server.  When the WD accesses the PC  via Media server selection on the WD, it is asking the PC to PLAY the file and PUSH it (i.e. “serve” it) to the WD so it can display it on the TV.  In most cases the Windows Media Player is what plays a file, but in the case of the WMP, it can’t ,'cause it doesn’t have the built-in codecs to play MKV; same situation for ISO files.

On the other hand, you can play MKV and ISO files from the PC if it is accesssed via the WD’s Network shares selection.  In this case, the the WD says , “Heck, I can play that file, so I will PULL it from the PC and when I get it I’ll play it.”  Do you see the distinction here between Push and Pull, media server and network shares? 

You can ONLY play an MKV via Network shares, so you need to get your Windows sharing and network shares working right or not much of anything will play for you.