DrOzz, are you insane?
If you want little codec support then DrOzz is right. Otherwise you'll also need to dl a few codec packs to really cover your bases, and that doesn't even include the gui or OSD or fonts! Unfortunately there's a small prob. In order to help you I'd end up re-writing the readme's and docs at http://www.mplayerhq.hu.
If you really want to get the most out of MPlayer you're going to have to get kneedeep in it. Get the readme, print it if that helps. Mark the lines that are actually STEPS and start at 1. If you have questions on a STEP, then THAT is within the forums realm imo. But to lay out the howto when there IS one is alot to ask..
MPlayer is a MESS to install the 1st few times. there is ZERO effort towards that angle, but you get ALL effort towards making it rock. The quicker you understand the process, the more independant you'll become.