Rather than opening a new thread, I'll just post here as the problem is still unresolved.
If I run mplayer from the command prompt with an smb:// URL, the file plays directly. If, however, I enter the same URL in the Open URL box, I get the mplayer error "Could not open from LAN." Looking carefully at the logs shows that smplayer puts the URL inside single quotes. Using the same syntax with mplayer from the command prompt generates the same error. That makes little sense to me since you'd think it shouldn't matter whether the filename is embedded inside quotes. (Double-quotes are just as ineffective as single ones, too.) I can understand the need to handle filespecs with embedded spaces in their names, I've found that escaping the spaces (and other problematic characters) with "\" works fine with SMB URLs. So rather than using single-quotes, perhaps you just need instead to escape the characters instead when generating the mplayer command line.
Kubuntu 12.04 with smplayer 0.8.0-1~precise1 and mplayer 2:1.0~rc4.dfsg1+svn34540-1+medibuntu1.