To where you do not have permissions? To the media files, to some mplayer files or what?
mplayer itself is a command-line tool, and if you don't get a video window open then there is some config wrong I guess (hopefully just that). I suggest you download and install a frontend to mplayer, like GMplayer, which is nicer to use.
I myself would rather use Totem or that default media player of KDE's (as the front-end) and gstreamer (as the backend that "does the job"), as gstreamer has the best plugin collection I've encountered. Not that mplayer would be worse, but my experience is that mplayer is a bit rougher one to use :-) at least when compared to Totem+gstreamer+gstreamer-plugins.