This article is from the CD-Recordable FAQ, by Andy McFadden (firstname.lastname@example.org) with numerous contributions by others.
Maybe. In an ideal world, the answer would be a resounding "yes". However,
some drives in some configurations will not work correctly, so the right
answer is "try it and see". If you are having lots of problems getting a
drive to work, turn it off. If you're running with it off, and are having
performance problems, turn it on.
As with any other "try and see" procedure, don't change more than one thing
at a time. For example, don't rearrange your drives and toggle DMA without
doing some testing in between. Otherwise, if something breaks, you won't
know which change caused it.
Under Win98, you can toggle the DMA setting by opening the Control Panel
window, double-clicking on System, selecting the "System Properties" tab,
expanding the "CDROM" branch, selecting the device, clicking on "Properties",
clicking on "Settings", and then checking or unchecking the "DMA" checkbox.
Under Win2K, you can set DMA on a per-channel basis. Under WinXP, select
the adapter that the drive is on rather than the drive. Other versions of
Windows may require registry tweaks.
Sometimes Win2K and WinXP will revert to PIO mode when a number of DMA
errors are detected. See http://www.microsoft.com/hwdev/tech/storage/IDE-DMA.asp
and http://www.gmayor.com/cd_writer_udma_mode.htm for details.