What audio device do you have? The first thing is to run mplayer from the command line, to see if some additional information about the error is given (if you get some useful information, please post it here). Then you can try to use another audio driver with mplayer: right click on the mplayer main window and select preferences --> Audio, then Configure Driver trying some of the listed ones.
From the command line you can also do
to get a list of the available audio drivers. Then you can select one or more using the same option, for example:
mplayer -ao alsa,oss audio_file
this will try the alsa driver then the oss driver. The following is an excerpt from the mplayer's man page, which explains the usage of the -ao option:
AUDIO OUTPUT DRIVERS (MPLAYER ONLY)
Audio output drivers are interfaces to different audio output facilities. The syntax is:
Specify a priority list of audio output drivers to be used.
If the list has a trailing ',' MPlayer will fall back on drivers not contained in the list. Subop‐
tions are optional and can mostly be omitted.
NOTE: See -ao help for a list of compiled-in audio output drivers.
Try the ALSA driver, then the OSS driver, then others.
Sets noblock-mode and the device-name as first card, fourth device.
Hope this helps.