You can do things like this from a console window on the first screen:
DISPLAY=:0.1 mplayer filename.mpg
by typing DISPLAY=:0.1 in front of a command it will run on your second screen.
(it is also possible to type:
and then all commands that you run in that console window will run on the second screen)
Many X windowmanagers will automatically see that you have two screens and put the mouse menus on both screens. E.g. fvwm and kwm (KDE) do this (I have seen it).
Apparently your windowmanager does not do this, or needs extra help.