disk images can be kind of confusing at first. you should have downloaded a file that was named something like "mplayer09b.dmg". depending on your browser, it may have automatically opened (if not, you just have to double click it). this will load a virtual disk on your computer and you can open it up in the finder just like a normal hard disk and install mplayer. if you restart, the mounted disk image will disapear, but the actual .dmg file will still be on your computer until you delete it. you can also eject the disk image once you're done installing by dragging it's icon to the trash or control-clicking it and selecting "eject". it can be tough to explain how they work, but if you deal with them enough, it makes sense.