I mean if you don't get something like this
1049>> ls -l `which gmplayer`
lrwxrwxrwx 1 root root 7 Nov 26 14:41 /usr/local/bin/gmplayer -> mplayer
it won't work when you try to execute gmplayer. So you'd need to
ln -s mplayer gmplayer
(with the full path, or in the mplayer directory) and if you don't have an
then you need to make that too, I think, since gmplayer insists on having one. You can either rename a theme's directory or make another link.
Then it'll know it's supposed to execute with a GUI and have a bunch of pictures to dress up in.
Of course, other stuff could be wrong, but those are the likeliest suspects.