Using an in
can have a performance impact. Joining two subqueries will not have the same performance impact and can be accomplished like this:
SELECT *
FROM (SELECT msisdn
,callid
,Change_color
,play_file_name
,date_played
FROM insert_log
WHERE play_file_name NOT IN('Prompt1','Conclusion_Prompt_1','silent')
ORDER BY callid ASC) t1
JOIN (SELECT MAX(date_played) AS date_played
FROM insert_log GROUP BY callid) t2
ON t1.date_played = t2.date_played