Eventually, I have fixed it. I give some details in case someone else
has the same problem.
The only thing I did was to change/add this to /sd/APPS/mplayer_ce/
mplayer.conf :
slang=ro
subcp=windows-1250
It turns out, my subtitles are encoded in ansi (I find by opening with
notepad++). It also turns out, my pc is set to "fall back" to romanian
language for non-utf8 texts and programs.
I would like to thank user bolaghobrial (page "User Submitted
Customizations") since it is by reading his posts that I got the ideas
for the fix.
I did not have to put a new font file, the special characters seem to
work right away (I have standard MPlayer CE v0.77 r590)
As a side note, in order to work-around this I have written a small
tool that replaces special characters in [romanian] subtitle files
with their "unaccented" versions. The character translations are
changeable. If anyone wants it, just ask.
> Vãd un bãrbat arãtos, care va intra în viaþa ta.