that appears to be just a warning message. it should still work, though not optimally. what exact command did you give...it appears that you started it, but did not provide any path to a file. (that is if you just entered the command mplayer) as marghorp mentioned earlier, the graphical version is sometimes called gmplayer. try this command, and you could also try passing a file to it if you didn't earlier. try something like: substituting the specific path to a movie file in the place of /home/yourname/yourfile.mpg.

hope this helps.