You can either create a new entry in dmenu like:
MenuItem MPLAYER
{
Icon = "res/media/gmu.png"
Name = " Mplayer"
Executable = "./mplayer.dge"
WorkDir = "/usr/local/mplayer"
Selector = yes
}
Add a Selector can always make our life easier

Questions:
1. Does anybody can watch *.rmvb files successfully?
2. *.asf and *.wmv files have no sounds?