The only way I have tested it so far is by cross compiling it on Fedora and then running it under Wine. I have to say that it actually works pretty decent. Notice in the screen shot that the VO is directx and the AO is dsound.
|gnome-mplayer-win32 running under Wine on Fedora 14|
I checked out the gnome-mplayer source code
Ran configure like this ./configure --host=i686-pc-mingw32
I then ran the executable under wine. Probably the trickiest part was getting the gtk icons in the right spot
I ended up symlinking the system themes into the mingw32 GTK directories
ln -s /usr/share/icons/ .
ln -s /usr/share/themes/ .
After that was done, it seemed to work like normal, minus the dbus, gpod and musicbrainz integration.
So if you have a complete mingw32 environment setup on Windows, you should be able to cross compile gnome-mplayer and then point it to a windows mplayer executable and it should work.