(1) ./configure
(2) make
(3) su -c "make install"
(4) Open XMMS, go to options->preferences->I/O plugins.  If "MikMod Player"
    is listed under "Input Plugins", click on it and UNcheck "Enable Plugin".
    (If you don't disable MikMod, it will play mods instead of ModPlug.)

ModPlug-XMMS has been known to take some time to compile.  Please be patient.