1) From your CD, install the gcc (compiler), object code, kernel source code, gtk headers, qt3 headers, X11 (aka XFree86 or Xorg) headers. You do not need gtk and qt3 headers if you are not going to use the gui mode of MPlayer.
2) Download either tgz or bzip files of MPlayer at mplayerhq.hu.
3) Open up a terminal (konsole, rxvt, xterm) or hit CTL+ALT+F1
4) Decompress the file
5) Go into MPlayer's directory
6) Type ./configure && make
7) If there is no errors after make, type su and then type root's password.
8) Type make install. This will copy the binaries and put them in their designated directories. Usually its placed in /usr/local/bin, so make sure your PATH looks at that directory too.
9) Find a video file or audio file and type mplayer file name goes
10) You should see/hear mplayer playing the video or audio.
If you want to play DVD, mp3, flac, ogg, mov you have to install those libraries and repeat step 6 to 10. You may have to do make clean before running make.
DVD needs mpeg2dec and dvdcss.
mp3 needs lame or other compatible mp3 decoder.
flac needs the flac decoder.
ogg needs the ogg decoder.
mov just needs the dll files to be placed in the codecs directory, so you do not need Quicktime4Linux. Read the documentatin at MPlayer's site to know how to do this. The codecs can be downloaded from MPlayer's site too.
Though you can install MPlayer through RPM (Redhat Package Manager) files but MPlayer is a good start to practice compiling.