In the UK, it's perfectly legal (it'll void your warranty though, as if you care). The situation is more complicated in the USA where the Digital Millennium Copyright Act has proven the utter incompetence of their federal legislators... but that's a whole different story.
Yes yes in the UK I believe it is perfectly legal. As jenstar said, it'll most likely void your warranty on the model. I say "most likely", as many companies say that there DVD player is multi-region, but they require you to "hack" it yourself by entering certain codes. You may be in luck and your DVD player has some codes out there on the internet that you can type in on the remote control to "unlock it"