You need the codecs, a skin, a font and the package. All of these are downloadable from www.mplayerhq.hu
and should be downloaded to a directory on your pc. Now for the fun part
The codecs (grab all of them - save your self some later hassle) should be extracted to /usr/lib/win32/codecs
(you may need to create the codecs folder). This should be done as root.
The fonts and skins I tend to extract to /home/username/.mplayer/fonts and /home/username/.mplayer/Skins - the capital S is not a mistake, by the way.
Then, open a console, cd to the download directory and extract the mplayer files. Still as your normal user type in:
(this enables a gui, which will be opened with gmplayer
as the command)
switch to root by typing in su -m
and type in root's password
then type make install
MPlayer will then use the codecs, skin and font and will open up ready to play all sorts of files.