After some tries, I decided to delete the entry mpeg under video under file association. Now, when I open a *.mpeg it doesn't come a window with "open with mplayer", but I have to choose the program in a list. When I select mplayer from the list, it works!!!!!
So now, when I open an attached file, the file is downloaded and then displayed. Before the file wasn't downloaded and wasn't displayed.... it's an improvement. My assumption is that something else happens when I select the program from a list and when a window with "Open with mplayer" comes. Does somebody have an idea ? Perhaps I have to give an argument to mplayer.