Rather depends on the model how easy it is.
There was a time when most players could be programmed to do this through their handsets but many of the major brands can't be hacked that way now.
But there are people like
http://www.multi-region.co.uk/index.php
All the players they cover are listed and they'll send you a pre-programmed remote that will convert your player. Then you just put it back in the post to them.
I've used them twice both times great about �25
If yours is one that can't be done like that and you absolutely have to have it multi-region they'll take it in and convert it for about �60 but at that price you'd probably be better just buying another