If you can use it correctly, and it's starting (meaning you can open up a console and play it) then you'll need to make sure gui mplayer (gmplayer) is also installed and working. Once that is, then you can make a desktop shortcut to it.
However, making one to mplayer itself won't help, it requires information such as the file to be played to work
Gmplayer on the other hand is probably what you are after, or are thinking about. Check out a search on this site about gmplayer, you'll be surprised at the amount of threads you find. Once you get that installed, just as you do any other desktop link, create one to gmplayer (not mplayer).
And in the future, to find where an application lives use the whereis command;
Will reveal it's full location with PATH.