Okay, first of all, a brief summary of how to compile things in linux:

1.  Get the tarball (*.tar.gz or *.tar.bz2)

2.  Unzip it:
tar -xzf *.tar.gz
or
tar -xjf *.tar.bz2

3.  Change to the directory

4.  Configure the source.  In 90% of all cases, just type:

./configure

That sometimes doesn't work, but then you're either dealing with
something weird or really old, or really crude.  This should take a
minute or two.

5.  Type 'make' to compile the source to binary.  ~15 minutes.

6.  Type 'make install' to install the binary files onto your system.
30 seconds.  It's installed and should run now.

So, to summarize:  configure, make, make install

It's usually that simple.  That'll work with mplayer, but it won't
support many media types.  Here things get complicated.

If you do the configure step, though, it'll list all the codecs that
are and are not supported on your system at the very end.  Work on
getting them working.  Realize that you can only get maybe half
working:  some are Windows-only, some are redundant, some are really
obscure, and some are unnecessary.