MPlayer has support for many file formats, most importantly Matroska (.mkv) containers which are common for watching anime. Often, subbers will use custom, nice-looking fonts that they embed into the Matroska containers. However, to use these fonts, MPlayer relies on Fontconfig. Without Fontconfig, MPlayer can’t use custom fonts.
First of all, you don’t have Fontconfig on your Windows system. You’ll need the Cygwin version of Fontconfig, that you can get through Cygwin’s installer. (I will omit the details in this write-up.)
The configuration files that come with Cygwin Fontconfig don’t work. You’ll have to edit /etc/fonts/font.conf and manually add your Windows font directory to the list.
Second of all, most MPlayer builds for Windows are not compiled with Fontconfig support. Short of compiling it yourself, you can find fresh builds that do have Fontconfig support at this binary build website.
Again, you might have to edit the fonts.conf in your mplayer/mplayer directory. You might have to run MPlayer from the directory that it’s in for it to work. If Fontconfig has a problem, MPlayer will only say something like “MPlayer interrupted by signal 11 in module: filter_video.” To confirm that Fontconfig is the problem, run MPlayer with Fontconfig off and see if it works.
Edit: The easiest way to get nice subtitle support is to use the actively developed CCCP Alternative MPlayer Build, that requires only a couple external DLLs (included).