I have installed RedHat Enterprise Linux WS 4 on my system and compiled the source file of Mplayer and installed properly. The problem I faced was the video playback was jerky during watching movies of any kind of file formats. But this is not the case with Windows XP.
In linux is there any Directx like to Windows so I can install Directx Rpm file on my Linux system and get rid of my problem therafter.

I'm sorry last night I accidentally dropped my crystal ball last night and it is not working right and I cannot see what hardware you have.........

You might want to visit Dag Wieers site and learn howto use yum and the rpmforge-release package and maybe re-install mplayer as an rpm package (and maybe some extra stuff you may want); http://dag.wieers.com/home-made/apt/FAQ.php#B

In addition you might want to add some codecs for playback:

tar format; http://www.mplayerhq.hu/design7/dload.html
rpm format; ftp://ftp.icm.edu.pl/vol/wojsyl/greysector/yum/all/i386

Try adjusting which video output your using for mplayer, you should have a number of choices and maybe the one your currently using works but is not the best choice.