As usual, assume you're installed with fc6. Make sure your yum works well, repository is set to the official url and mirrorlist.
1) yum install mplayer
2) yum install mplayer-gui
3) vi /etc/mplayer/mplayer.conf
vo = sdl
ao = sdl
4) In control panel, set sound system to OSS(Open Sound System) and click apply.
And you're finished!
Tips: Never use GUI preference to save your options, it will overwrite your video and audio settings.
If you happened to do so, never mind, edit ~.mplayer/gui.conf, change vo and ao option to sdl and restart MPlayer.