It's not a maemo problem. The problem is that the network folders you see in the filebrowser are visible through the gnome-vfs virtual filesystem. Any application using gnome-vfs for file access can open these files.
mplayer, however, does use the normal kernel filesystem operations and thus cannot see non-local files.
As a solution, one can either mount the network folders so that the kernel can see them, or use UPnP for accessing the files. UPnP exposes http-URLs from which mplayer can perfectly well play media.
The tricky part is to get these URLs from UPnP. Some media players do this part for you by letting you browse the UPnP folders and then invoke mplayer.

Something simpler would be to create a wrapper/proxy for mplayer, which accepts gnome-vfs paths and exposes the file to mplayer via a local HTTP server. If there is interest, I could hack one together in Python within a few hours, since similar stuff has already been developed for MediaBox to let mplayer access YouTube videos.