Welcome to the wonderful and stifling world of DVD region coding! This is a 'security and protection' implementation that has been around for awhile, though most folks have had the luxury of remaining blissfully unaware of it.
See, there are (last I knew) six different region codes in the world. Based on the way that the DVDs are coded (as well as DVD players), discs made in particular regions will only play in particular DVD players. So if you've got a DVD from Australia, which is Region 4, and you're trying to play it in the States or Canada, which is Region 1, this is most likely not going to work. Movies are released on the big screen across the globe at different times, and this is one of the main reasons for the region coding.
Many DVD players (at least PC ones) will give you an option of which region code you wish to use if you try to play a disc from a different region; however, this is not always the case. There are also 'region-free' software programs out there that might alleviate your problem, but I'm not sure about the legality of them. Bear in mind that the Region Coding generally interfaces with the physical firmware on the DVD player so if you use a new player to play a Region 4 DVD you might not be able to play any DVDs from North America.
Here we go - check out this link
for detailed info on region coding.
Hope that helps!