The GUI needs GTK 1.2.x (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/Skin), or to $HOME/.mplayer/Skin. 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 */Skin/newskin directory.