Do I have to set my dvd drive's region?

Do I have to set my dvd drive’s region?
What are the pros and cons of not setting it when asked in windows?

You can set it only five times, it means that the fifth choice will remain permanent.

Try AnyDVD or DVD Region Free, these software will make your drive region free-

www.slysoft.com
http://www.dvdidle.com/dvd-region-free.htm