By a desktop player you mean a stand-alone player, not a software runing on a computer ?
If so, the simplest way is to convert the files (AVI + subtitles + different languages) in a DVD format and burn it to a DVD disk. Convertx2DVD is a powerfull tool to do that.
MKV (or Matroska) isn't supported by normal stand-alone players. If you want, you can search for popcorn-hour or western digital player or TivX. And you will still need a PC to convert the files to matroska container.
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