What you need is a DirectShow splitter to sparse mkv files. I’m not familiar with what the K-Lite codec pack bundles or not, but you might want to look at
http://www.matroska.org/downloads/windows.html. Look in the section where it says filters. If one doesn’t work, try another. If they all fail, my suggestion would be to scroll down and use an editor instead to convert to an intermediate format (AVI, MPEG, whatever) then feed that into movie maker.