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 called gtk-dev and 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.

Currently you can't use the -gui option on the command line, due to technical reasons.

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 newskin option, or the skin=newskin config file directive to use the skin in */skins/newskin directory.