PARALLELS DESKTOP ISSUE

You're seeing this because Media Player is a Windows app, not a Mac app.

Although there are 3rd party apps available, most of us play videos with the built-in Mac app, QuickTime Player.

You can associate file types to open with a selected application on your Mac. Here's a good Apple Support article on how to do that: Choose an app to open a file on Mac - Apple Support

Hope this helps.

Just to add, you probably need to install a different app to play .mkv files such as VLC.

https://www.videolan.org/vlc/

Are you trying to watch a video within PII using Windows or are you trying to load a video in the Mac OS and get this message? Media Player is a Windows based app.

chidvilas005 wrote:

I tried to open a video with some other app by clicking “open with” , but the only option it has is “Media player”

Choose "Other…" from the menu and select a different player.

Which app played .mkv files previously? No .mkv files I have will open in QuickTime Player, Quick Look, the Finder etc.

No problem. In any case, VLC and IINA will both play .mkv files. You can also convert them into a different format such as .mp4 using Handbrake.