from livna.org) it did work for me out of the box. Mplayer didn't have DVD menu support back then - and I don't know if it has nowadays - so I lost interest to experiment further pretty quickly.
now MPlayer has support for the navigation in DVD menu, you should compile it with the option "--enable-dvdnav" here you can see screenshot http://www.linux.org.ru/gallery/biglIDbEY.jpg
How to compile mplayer with support for dvdnav: http://svn.mplayerhq.hu/mplayer/trunk/DOCS/tech/dvdnav-howto.txt?view=markup