Mplayer should play DVD's just fine, with the proper codecs installed. Although I find I do prefer Xine or Totem. I suspect you are missing the libdvdcss package that allows encrypted DVD's to be played.
You don't say what version of CentOS you have, so I'll just assume CentOS 4....
First, just on a whim.. open a terminal and as root...
yum install libdvdcss
If one of your enabled repos has the libdvdcss package it should download and install. If it appears it downloads and installs, let it finish, and open up Mplayer, and try to play a DVD.
If that doesn't work, try the link below. It has some more detailed steps on enabling additional repositories, and installing libdvdcss(look under Installing Mplayer and plugins)