I just tried Fedora Core 3 on my mom's PC two days ago, and installed mplayer too... it wasn't too hard to install. Like bersl2 said there are RPMs for Fedora, also. I just installed the base package, the GUI and skin packages simultaneously (as it explains how to do at the bottom of the download page for the Fedora packages), and then basically could run it.
One problem I had is something about an error with "argument 1" or "parameter 1" or something like that. If you get that, try finding and removing the mplayer config file for the user you're currently logged in as (that PC isn't working right now so I forget the exact path, but it's probably ~/mplayer.conf, or a file under ~/.mplayer, something like that).