I just compiled Mplayer from source also! Brave souls, we are. I have read that compiling Mplayer is a difficult process, and you should usually just install a precompiled binary for your distro. With that said, here's what I did...
It appears that you did not compile in support for Windows codecs. At MPlayer HQ's download page, you'll find a link to additional codecs. Get them ALL (certainly the Win32's as this seems to be what you're after). Create a directory called /usr/local/lib/codecs and dump all the codecs in there that you downloaded. Get them out of the folders they came compressed in, and just put the naked codecs in that directory you just created. Then, when you do ./configure for MPlayer, use the following options:
--with-codecslibdir /usr/local/lib/codecs
and
--with-win32codecs /usr/local/lib/codecs
Actually, the above options are probably not exact. Use:
./configure --help
to get the exact syntax. Then configure, make, and make install (or checkinstall is my preference for easy package management...)
The finished product is quite nice. MPlayer can handle just about any video file format, and there's a neat plugin you can get for Mozilla (linked on MPlayer's website) to play imbedded video on webpages! And to think I paid $30 for that dang Crossover plugin... ;(
Happy compiling!!!
--Akshun J