Haali Media Splitter, also known as Matroska Splitter, is a tool for separating the video and audio streams within a video file. It is often used by freeware video software, and may be automatically installed by that software when it is installed. Unless it (like any software) has been hacked it is perfectly safe, and will do nothing unless you or certain video software accesses it.
Here is a link to it in VideoHelp:
http://www.videohelp.com/tools/Haali-Media-Splitter
and here is the parent web site:
You may uninstall it, but then the software that uses it will not work properly.
Vgefox is right to be cautious about software that got installed and you know nothing about. It is a pity that some authors of software don't make it clear what other software gets installed at the same time. As Ned Kelly said just before they hanged him, "Such is life".