1) Google "region hack" and whatever your player's brand/model is - you may be able to make it region-free.
2) If it is the region coding causing you problems (this sems unlikely if your friend is in the same region as you) then it is likely that your PC only has a limited number of region-changes (though this can be hacked).
3) It won't store the DVD on your PC, though that can be done if you want to.
4) Has your friend just copied the prog as a video file rather than converting it to a "proper" DVD? If so, it is possible to make a "proper" DVD from the file.