From memory, I don't think you need to dial any exit code - others here will correct me if that's wrong).

Yes, you can get good quality dvds in Bangkok - try the market stall outside the Irish Pub on Silom Rd. - Patpong area.
Also in MBK there's a shop called Maeow (or similar) on 2nd floor about the middle of the complex near the top of the escalators that run ACROSS the buliding. It's on a corner of main and side aisle, so it's quite easy to spot.

This shop only a small range on display but you can order lots of stuff from their catalogue, including new releases and complete boxed sets of mini-series (West Wing, Six Feet Under etc.) for delivery to your hotel next day. No problems ordering this way.