There are a few things you can look into. BSD should make several attempts at getting the requested file. In your post I see only one message saying could not fetch. If it is left to run it should try to retrieve from different servers. When it's done it should either start installing, compiling or give you a final error message before dropping you back to a prompt, depending on how you attempted to install the program.
You may also want to attempt to build mplayer from source. The location of it in your tree is /usr/ports/multimedia/mplayer. To retrieve it from source and compile `cd` into that directory and type `make install clean`.
Also, if there is a way to get your machine directly onto the internet this may help determine if your firewall is preventing the connection. Even though you have DHCP the firewall may be blocking FTP or filtering the servers it is attempting to pull from.
Finnally, it may be that the list of servers in the appropriate files is outdated. If this is the case you will need to update your ports tree by using the methods described in the handbook at the following link. http://www.freebsd.org/doc/en_US.ISO...ting-edge.html
Hope this is of help,