Well start my putting it in a directory (folder) all by itself and then say tar -zxvf *.tar.gz

It should unpack into a second folder where you can say cd new-folder-name and then ls

After that use the "less" command to look over the likely included README and INSTALL docs like less README (for example) leave the "less"command by hitting "q"

It usually goes something like
./configure
make
make install

I dont like to install like that because I like apt/dpkg to manage my system so I apt-got checkinstall.

With checkinstall you have a good chance of building a deb you can later install from that same folder with dpkg -i *.deb

3 steps above are the same but for the last one
./configure
make
checkinstall -D

sometimes you need ./configure --prefix=/usr
sometimes you need to run ./autogen.sh first before you configure.You just need to see the readme docs in that tarball you downloaded.

You might also just want to go to apt-get.org and get the links to fetch mplayer,then add it to your /etc/apt/sources.list and apt-get update then apt-get install mplayer.

hope you dont error on make