A bunch of questions ..please !

You can find the buildroot guide here,

http://forum.niosforum.com/forum/index.php?showtopic=3174 (http://forum.niosforum.com/forum/index.php?showtopic=3174)

There are quartus2, nios2 IDE on Linux from Altera. But You'd better use two PCs, one for XP and the other for Linux. Use XP for quartusII/niosII to compile hardware, and use Linux for software. They can share files with samba. You can use VNC, so that you need only one screen/keyboard/mouse to control both.

Most of the Linux software can be built on command line console.

You can check Altera's CycloneII DSP dev board, it has the VGA and audio code.

Please note that current Nios2 is MMUless. Some software may need modification to run.

There is Nano-X (microwin) ported to uClinux.

You should check the mplayer doc. You need some work on the video driver.

Cheer!