Rather than write a single cross-platform script, which would be too complicated, I opted for separate scripts for each platform.
All scripts provide the following functions:
Open one or more media files in mpv.
Default key binding: Ctrl + f
Open a URL in mpv.
Default key binding: Ctrl + F
Open one or more subtitle files in mpv.
Default key binding: Alt + f
If you're on KDE, you should download kdialog.lua which uses KDialog.
If not, you should download zenity.lua which uses Zenity.
xdotool is required for both scripts.
Download powershell.lua.
Download osascript.lua.