The GUI needs GTK 1.2.x or GTK 2.0 (it isn't fully GTK, but the panels are).
The skins are stored in PNG format, so GTK,
libpng (and their devel stuff, usually
libpng-dev) has to be installed.
You can build it by specifying --enable-gui during
./configure. Then, to turn on GUI mode, you have to
execute the gmplayer binary.
As MPlayer doesn't have a skin included, you
have to download them if you want to use the GUI. See the download page.
They should be extracted to the usual system-wide directory ($PREFIX/share/mplayer/skins), or to $HOME/.mplayer/skins.
MPlayer by default looks in these directories
for a directory named default, but
you can use the -skin
option, or the
skin=newskin config file directive to use
the skin in */skins/newskin