What does it mean when my dvd player says wrong region??

DVD's are coded to play in different parts of the world. Each DVD player is set up to recognise these codes. Most are set up to recognise only the region code of the area it was made for. For example Region 1 is for the USA and Region 2 is UK and parts of Europe. A DVD player made for the USA market would not be able to play any other discs with a Region code other than 1. And so on... This was done for the film industry benefit so that films can be released at later dates in different parts of the world without everybody seeing it on DVD issued in the USA.
However most DVD players can be "hacked" by a combination of keys allowing the user of say a Region 2 player to change it to another region. Some can also be changed to Region 0 which means it should play any disc.
How to change the Region code can be found by putting the model number of the DVD into a search engine and the words 'region code'. Some can be found on this site too.