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I don't think this qualifies as a bug since Arch doesn't really patch programs they don't develop, so I figured this would be a better place to suggest it.
Anyway, MPlayer supports a lot of different network protocols including HTTP, MMS, RT[S]P, FTP, UDP (not sure on the details), UNSV, [NO]ICYX, and SMB/Samba. Thus, I would suggest that the mplayer.desktop file be patched to change the Exec line to:
Exec=mplayer %UThe normal desktop file uses %F which will cause KIO (in KDE at least) to copy the file(s) over before opening it despite MPlayer's native support for various protocols which is why we change it to %U to just pass the URL rather than the file name. Now this isn't an optimal solution as MPlayer doesn't support the same set of protocols that KIO does (and I guess GVFS, but that provides a transparent mount point in ~/.gvfs anyway), but it's a good start (especially when browsing files over Samba).
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