I tried Jaffa's complex method and got as far as "Unzip MPlayer-...-svn-30075.7z: put it in the directory created above" but the next bit was completely beyond me to understand how, where or what.
I wonder if you guys realise how incredibly simple things are when one is only used to working in windows. Click, install, play - it works. No command lines, no installing dependencies, no hunting for the right bits.