The GUI needs GTK 1.2.x or GTK 2.0 (it isn't fully GTK, but the panels are), so GTK (and the devel stuff, usually called gtk-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 one if you want to use the GUI. See the download page. It 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 newskin option, or the skin=newskin config file directive to use the skin in the */skins/newskin directory.