There is nothing really to install. You just ftp the mplayer to anywhere on your box. Like /var/bin for example. Chmod the file to 777
Then you run it from telnet.
You can check out some basic commands by running:
/var/bin/mplayer --help
But I don't think it is ready for use yet. Just for some testing.
To play a file without any extra options you just set the path to the file.