My friend shared a few .mkv files to my google drive; they work fine when I play them on google drive. When I downloaded them and played with Windows Media Player, there was no audio.
WMP doesn't have the necessary decoders (codecs) to play many things natively. One could add a 'codec pack' (e.g. shark007, k-lite, etc.), enabling WMP to play these back, or install a player like VLC, which includes most necessary codecs.