"This player is incompatible with the region marking of this disc."
This is referring to the DVD drive having one region and the DVD media being for another region. It is a hardware error, not an mplayer issue.
While you can change the region of the drive with regionset, you only get a small number of opportunities to do that, making it impractical to use for playing a given disk.
There is region-free hacked firmware available for various DVD drives, but you can easily turn your DVD drive into a brick with an error.
My suggestion is to set your DVD drive to the region you play most often (if it is not already set to that), and don't play incompatible disks. Thank the MPAA for the DRM.