I finally got this work.
After googling things online and kde.org. There was simple solution. I need to put "X-KDE-Protocols=http,ftp,smb" in a desktop entry file. So this is a MPlayer configuration issue in KDE.
In my Arch, there is mplayer.desktop under /usr/share/applications/. However, changing it never works. So I had to find where else mplayer.desktop files in my system.
$ sudo find / -name mplayer.desktop
So, it was under my home directory. /home/myusername/.local/share/applications/mplayer.desktop.
After I put "X-KDE-Protocols=http,ftp,smb" bottom of the file, things work fine.
I still get configured why VLC uses desktop entry file under /usr/share/applications and MPlayer uses one under ~/.local/share/applications. I am not sure this is related to Arch or KDE. If you know, please let us know little information about it. Thank you.
Oh! one more thing. Probably newbies do not know where to configure MPlayer launching options. It can be specified in the desktop entry file. It is also able to configured in System Setting > Common Appearance and Behavior > File Associations > Known Types > video > "pick a movie file extension" > General tab > "choose MPlayer Media Player" > "press edit button" > Application tab. I see "mplayer %U" in command box. This %U thing seems like to be there if I want to access URLs such as smb.
For more information about the option like %U thing. Visit link below.
I hope these helps at least a person. Thank you.
PS> unfortunately, MPlayer cannot show subtitle from remote share when it launched Dolphin and KDE environments. One person told me that GNOME mount remote shares and KDE doesn't. It seems right. So, I cannot see subtitles.