It’s technically possible, but windows doesn’t give you as the user tools to do so. If you donÄt want windos to have the ability to do so you could use full system encryption like: https://wiki.archlinux.org/title/Dm-crypt/Encrypting_an_entire_system

But it’s definitely possible to ship a virus embedded in a playable mkv file, but something else would have to extract it first, for it to do anything

if you really only played it and it didn’t abuse some zero day in vlc (extremely unlikely), the there’s basically zero chance you could have activated a virus.