iphone6 newbie needs help

so i just got this iphone6s and i need help in downloading an "mkv" from the iphone and watching it. how do i do it?
here is this link to the file >>sample.mkv

actually now that i think of it. it's not just mkv files. it a bunch of file types that i usually download everyday from my pld phone so i can watch them on the phone. my old phone use to do it so im sure the iphone can but i don't know how what am i missing. for some reason i can't seem to do thoes things on the iphone, some of the file extensions are mkv,mpeg4, avi, i really like the phone i would like to keep it. but this issue really is a deal breaker for me. maybe there is app that will work? please help

 

thank's for help i will try that

--- Post Merged, Sep 15, 2016 ---

can get that converter at the app store too?