ffmpeg thumbnail problem

[fmen]

I have installed FFmpeg and videos are converted like it should be, but the problem is when I want to create a thumbnail I get always something as this: View picture - pic.filehostserver.eu

When I use mplayer I get this:
Error opening/initializing the selected video_out (-vo) device.

With this command: mplayer /home/vid.avi -ss 1 -nosound -vo jpeg:outdir=thumbs -frames 3

The command mplayer -vo help returns this:
MPlayer SVN-r29543-4.1.2 (C) 2000-2009 MPlayer Team
Available video output drivers:
fbdev Framebuffer Device
fbdev2 Framebuffer Device
cvidix console VIDIX
null Null video output
mpegpes MPEG-PES to DVB card
yuv4mpeg yuv4mpeg output for mjpegtools
tga Targa output
pnm PPM/PGM/PGMYUV file
md5sum md5sum of each frame


So the Jpeg is not installed, but how can I install this? Or how can I make it work to create thumbnails with ffmpeg?