Here's how I build mplayer with livemedia support:

cd ~/projects
mkdir livemedia
cd livemedia
wget http://www.live.com/liveMedia/public/live.2004.03.31.tar.gz
tar zxvf live.2004.03.31.tar.gz
cd live
./genMakefiles linux
cd ..
sudo cp -r live /usr/local/lib/

cd ~/projects
mkdir mplayer
cd mplayer
wget http://ftp5.mplayerhq.hu/MPlayer/releases/MPlayer-1.0pre3.tar.bz2
tar jxvf MPlayer-1.0pre3.tar.bz2
cd MPlayer-1.0pre3
./configure --with-livelibdir=/usr/local/lib/live
make
sudo make install

now be sure to use /usr/local/bin/mplayer