If you're a Windows 2000 or XP user, open System Properties (Start -> Control Panel -> System). Choose the Hardware tab and click on the Device Manager button. Click the plus sign next to DVD/CD-ROM Drives then right-click on the DVD drive name. Choose Properties from the context menu that opens and check the region code setting on the DVD Region tab.
I have XP Home w/ SP2, and when I just tried this there was no DVD region tab. I know there used to be one, so perhaps this was removed by SP2. (Either that, or something strange just happened to my computer.)
Anyway, I seem to remember that Windows would say your drive was set to a certain region even if it was region free.
Any DVD-ROM drive can (or at least *should* be able to) be set to any region. The issue isn't so much changing it as it is the number of changes. When you first get a new drive, I think you get something like 6-8 chances to change to a different region. Beyond that, you're stuck with whichever one you changed to last ... (without some kind of firmware/software hack - which would be different for each make/model of DVD-ROM)
Bryan, it's a business decision (to limit the drives ability to change regions); a limitation agreed to by companies but not by any countries. That limitation is sometimes mistaken as being being a limitation imposed by a law, but that is not so.
There are other ways to change one's drive to be region free, but ways involving changing the drive's firmware run afoul of the Digital Millenium Copywright crap, and can't be discussed here. And anyway that's not needed when there are programs like the above available.