It will look in the "Default places"
So, you can put them wherever you'd like apparently, if it feels "default".
OR, you can specify in the configure script (which means you'll need to compile rather than rpm) where the codecs are.
OR, as whansard said, possibly a "/usr/lib/win32" would work.
However, you might just install the RealONE player and, according to the docs, mplayer will find and use the codecs from it (again, if not, you can specify it in the configure script, meaning compiling is needed).
How's it been goin Ben?