Open a terminal and su to root, assuming that the all-20061022.tar.bz2 is in the current directory;
Code:
tar xvjf all-20061022.tar.bz2
cd all-20061022/
cp ./* /usr/lib/codecs
exit
Then retry mplayer, preferably in the terminal [ie mplayer /path/to/video/file.wmv] so you can see any error messages.