Yes, you'll need to convert it to another format to play it on a standalone player. Your player may support DivX/XviD .avi files saved to a CD or DVD - but like the others have said I recommend you avoid that and convert it to standard DVD.
I agree ConvertXtoDVD is a good prog as it will convert just about anything.
A free solution which should work is FAVC. The only reason this will not work is if you have dts audio in the MKV file as opposed to Dolby Digital , as i don't think that is supported. Check it out here/download at videohelp.com:
FAVC
I've used it a few times to convert HD MKV files to DVD in the past and it's fairly simple. I'm sure there's even a guide on that page that will tell you step by step how to do it, although it's essentially a one-click solution.