After uninstalling the SteamVR Virtual Desktop application, it seems that the right-click context menu entry remains.

To remove, open regedit and delete the following keys:

  1. HKEY_CLASSES_ROOT/SystemFileAssociations/.mkv/shell/Play with Virtual Desktop
  2. HKEY_CLASSES_ROOT\SystemFileAssociations.mp4\shell\Play with Virtual Desktop
  3. HKEY_CLASSES_ROOT\SystemFileAssociations\video\shell\Play with Virtual Desktop