first of all, read the download page (the html one)
you have you downloaded ALL mplayer packages ?
becuase all packages depend on each other, you need to install them all at the same time
cd [download location]
rpm -ivh mplayer-*.rpm
anyway, yeah, even after you do the installation properly looks like you are still missing a few dependencys...
all those error messages..
whatever is needed by....
mean you need to install the whatever.
all those whatevers with a .so. are files dependency's (asin, mplayer needs that file)
and all the others. like aalib, alsa-lib, are package dependency's (which are dirrerend rpm's)
solve the package dependency's first, as package dependency's might also solve file dependencys.
so, i happen to know for a fact that also-lib and aalib come with redhat 9...
SO.... insert your redhat disk 1
ls | grep aalib
if it finds a package called aalib then install it with rpm.
if the dependency isnt on any of your redhat disks, goto
if there are no more pakage dependency's but still some file dependency's goto google.com/linux and search "provides libdv.so.2" or whatever to find whatever package will install that file for you.
anyway... yeah, read the docs on the mplayer homepage for more info.