Which LINUX distro do you use?
If you use Fedora, try installing mplayer with yum. And not mplayer, but gmplayer. the you could start it with the command "gmplayer" and it should have skin.
(If Debian: apt-get install gmplayer)
If you've installed mplayer only, or gmplayer, but you still don't have skin, look in the following directory:
/usr/local/share/mplayer
There you should find a directory Skin. If there's no such directory, make one. Be careful, make it with capital "S" - "Skin", not "skin". Then go to
www.mplayerhq.hu or another mirror where you could download skins from. Download the Blue skin (default) or another one you would like. Extract it from the archive. You should get a directory "Blue" with files and directories in. Now move the whole Blue directory to the Skin directory you've created, to get the following:
/usr/local/share/mplayer/Skin/Blue
Now try running the command "gmplayer".
I'm almost sure you wouldn't be able to run "gmplayer" if you've installed only mplayer and not gmplayer. So uninstall mplayer and install gmplayer.
(If you insist on installing gmplayer from source:
./configure --enable-gui
make
make install
)
Good Luck
P.S.
If from source, please read the README and INSTALL files from the MPlayer source directory.