You have to run ./configure --enable-gui for compiling the GUI for mplayer.
Before doing that, download the codecs of the homepage and put them in /usr/lib/win32.
Run the configuration script with the flag, and while doing that, download a skin for mplayer (also available at the homepage).
Copy the skin to your home, under .mplayer/Skin (don't remeber if is skin or Skin, i don't use GUI for mplayer).
Hope it helps