Welcome on-board. You've heard right, mplayer is the best program around and, in my opinion, better then Win-Slow Media Player.
You have a distribution that already has it. Simply go into your package manager "(Start Menu/Add or Remove Applications)" and make a search after mplayer. You should do fine doing it like that, it's the easiest way.
Anyway, the page for mplayer is here:
they have many FAQ's and trouble shooting there that you may find helpful. Also, this forum has a search button. If you simply type mplayer, it would return you many posts with peoples trying to install mplayer, it could also help you a lot.