I recently bought another new DVD player - a Sony DVP-NS52. Both the Sony Store and Peats offer to make this player multi-region for an extra EUR20. I opted not to go for this and take my chances unlocking it myself (albeit safe in the knowledge that I could bring it into Peats and get them to unlock it at any time in the future for the EUR20).
Anyone with a region-locked Sony DVD player could do worse than to check out Selen.org's Making the Sony DVP-NS705V multi-region before shelling out for a 'chip' or anything like that. Although this didn't list my model explicitly, it did say that it theoretically should work for the entire "NS" series, and has even worked across other models. I tried it on mine last night and success!
One note though - Windows 2000 and XP have nasty IR support. You're much better grabbing a DOS boot disk from bootdisk.com and using that instead.