Most DVD players will "lock" into the Region of the first DVD that is played on it. Sometimes you can find firmware downloads for the DVD player that will unlock the player so it can be reset on the next DVD (which can be a pain), or permanently unlock the player for any Region.
The other option can be to rip the DVD on your PC or Mac and rewrite it as a Region free DVD or as a DVD coded to the Region recognized by your DVD player. The problem with this approach is the DVD may have additional piracy prevention encoding. There is software that can get around this, but its use in the US is legally questionable. The law is a bit murky about being able to do this on CDs/DVDs that you own; it is pretty clear you can't do it on CDs/DVDs you don't own. And to make it just a little more difficult, most US sites that host downloadable software that does things like this won't have copies. You typically have to download it from a site outside the US.