for me, skins and fonts are located in /usr/share/mplayer. if the skins or fonts aren't working, check the permissions. something like "chmod -R 755 /usr/share/mplayer" while su'ed as root.
codecs for me are in /usr/lib/win32
as far as getting mplayer to work with codecs, i'm not sure as i haven't done this with mplayer, but i think you have to recompile mplayer with codec support.