Drabone if you are right handed then you will want to change it to a left hand wind. All of the fly anglers that I know and have seen who are right handed wind and strip with the left hand.
Regardless of what Geoff says you will be using the reel as just more than storage device.
As soon as you have hooked a hard fighting fish, winter rainbow, sea trout, salmon, carp or pike you will want to get the line on the reel as soon as possible. That means winding in fast to get in control and play it off the clutch if required.
Again if you are right handed you will be casting with your strongest hand and the reel should be set for left hand wind.
If you leave it set as a right hand wind then you will have to faff about and swap hands at the crucial moment when you hook a fish.
Not only will this cost you fish because you are no longer in control but it will also feel totally unatural as you try to apply pressure with your weak hand when playing it.
If you are right handed you are correct in wanting to change it over. By leaving it and trying to adjust it will put you off fly fishing immediatly.
Casting is always made using your strongest hand and to swap over would feel totally unatural.
The reel set on the left hand wind is for right handed casters. If you are cack handed then leave it.
Try to find a local fly shop and buy a few items from them, Tell them you are new to the sport and ask them for advice. If you take the reel with you more often than not they will perform the simple conversion for you.
Good luck its a wonderful type of angling.
BC.