I just got a download that looked legitimate in a folder with the file marked as an .mkv extension - fortunately, due to recent commits it failed. On checking the video file properties and its location within the properties tab, it indicated the command prompt in Windows system 32. So, please beware if a download fails, thoroughly check the reason without opening/executing the file - any file connecting to the command prompt is MALWARE!
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Presumably filename.mkv.lnk
rather than an actually malicious video file that can somehow run commands.
It’s not actually a video file but code (executed by the command prompt in system32) that is malicious - most anti-malware/virus scans do not pick it up.
Like I said, not actually an .mkv file, but a shortcut (.lnk); it’s a relatively old method of infection - How Attackers are Using LNK Files to Download Malware | Trend Micro (US)