Codecs are one thing, containers are another. For example
if people were using H.264 in AVI as exclusively as ASP is/was being used, then it's simply a case of installing a decoder and it just works like any other AVI. The fact that it's H.264 or whatever is practically transparent to the end user once you have a decoder.
However formats like MP4 are not supported in Windows by default, this is due to MPEG licensing costs (although money isn't exactly a concern for Microsoft, so that point may be moot), but more importantly, Microsoft see MP4 as a competing format to WMV, so they naturally will not support it and try to strongarm people into using WMV (see Windows Movie Maker, it only has WMV output at sane filesizes, or huge ass interlaced DV-AVI).
So as a result of this, an MP4 or MKV file is unknown to Windows on a fresh install, there are no context menus, WMP doesn't know what it is and double clicking it does not launch a program and begin playing it.
However, it happens I have just the thing for you. You must install a H.264 and AAC decoder and MP4 parser. My suggestion is CCCP which has all of those, and is pre-configured (but be sure to remove any existing FFDShow installations if you have any, for example AMVapp used to install it), or FFDShow + Haali's media splitter on it's own if you are confident you know what you are doing. You can also install CoreAVC which includes Haali also; CoreAVC is the fastest H.264 decoder and also supports dual core/cpu.
Ok, so thats the decoding side of it done; now you can add my registry entries to the registry which will "integrate" MP4, and it will be almost no different from dealing with an AVI file in terms of double click to play or context menus/icons.
Right click and save this. Open it when complete and when prompted to add settings to registry click yes.
http://aflux.deltaanime.net/Zero1/MP4/M ... all108.reg
Now this has been updated for WMP11, but if you have an older version you can get the file icon in explorer via Tools > Folder Options > File Types > MP4 and click on advanced. Click change icon and browse to "C:\Program Files\Windows Media Player\wmplayer.exe" for older versions of WMP.
There you have it, MP4 should now play just like an AVI file.