You need the development packages which you didn't install during setup. Have a look at 'install software' in the mandriva control centre and install gcc etc if you haven't got them. The mplayer plugin is also available as a mandrake package if you've set up sources at
www.easyurpmi.zarb.org.
Actaually, even easier, sign in as root in a console by typing
su. Then just type
urpmi gcc . The package gcc includes g++ etc.