Now that 7 has been released, goofy codec packs are no longer needed, except for special circumstances. The “Holy Trinity” of MKV filter packages is:
Some Matroska files do use additional codecs, usually for commentary audio tracks, so you might also want to pick up FFDShow-tryouts. When installing FFDShow, deselect everything except for the additional codecs you need, generally this will be “Vorbis” and “Theora”.
Registering VSFilter.dll is a bit of a pain since there’s no installer. First extract VSFilter.dll to your favorite codecs folder. I generally use “C:\Codecs”. Next, load an Administrative command prompt by typing “cmd” into the search area, right clicking on “cmd.exe” (which will be a returned result from the search) and selecting “Run as administrator”. Then at the c: prompt, type “cd c:\codecs” or “cd ” followed by whatever folder you store your codes in. Finally, at the c: prompt again, type “regsvr32 VSfilter.dll”. If everything went right, you should get a dialog box that says the filter was registered successfully. Now when you load up your favorite Matroska file, enjoy subtitles! Note that you can change subtitle tracks and audio/video tracks by right clicking on the Matroska icon in the System Tray.
Update: x64 users will need a 64-bit version of VSFilter. I haven’t tested this build but Shark007 seems to know what he’s doing so hopefully it will work for you. (Confirmed to be working by Jere_Jones.)