This is completely normal, MPlayer has actually no GUI, so when you lunch it without any parameters it instantly quits. You can try to drag&drop video file on the mplayer.exe or invoke from the command line. If it works good enough for you Yo can add MPlayer in your 'Send To...' folder or associate it to your video files so that it opens them on double click.
Because Mplayer has no GUI, you ave to use the Keyboard to navigate in the video (left and right arrows to move forwart/backward 10s) up/down => 1min pageUp/Dwn => 10min, 'Space' or 'p' to pause, 'f' to toggle fullscreen, 'j' to change subtitles, '#' to change audio track, 'ESC' or 'q' to quit, 'o' to cycle through more or less OSD,
Read the Keyboard.txt for more details, you can change those keys with the mplayer/input.conf
You can change general options in mplayer/config (open with notepad), you will want to try several video drivers to check which is the best for you.
If you want to benchmark the video output, find a short video file on your drive and use the flowing command line (in command.com/command prompt):
> mplayer shortTestFile.mp4 -vo XXX -nosound -benchmark
With XXX = directx or direct3d or gl or sdl
-vo stands for 'video output'
At the end MPlayer will display performance details.
Then once you found the one that works best put it in your config file (vo=XXX)