To run Mplayer by itself without calling it to open a file, you'll need a graphical front end.
Gmplayer is the one you can compile it with.
If you run KDE or have KDEs libs installed I recommend Kplayer. Kplayer is the nicest front end for Mplayer that I know of.
Otherwise you need to call the file when launching mplayer
or if its on your drive already
You can also set your file mgr like Konqueror or Rox to launch mplayer as the default app for media files .wma, .wmv etc. when you double click the file.