Let's discuss what a golfer must do when he hits the ball of bounds.
A golfer must re-tee, meaning to hit another tee shot from the tee box, if the previous shot travels out of bounds.
As the result of hitting a golf ball out of bounds, the golfer must add one penalty stroke. For example, if a golfer hits his first drive out of bounds on the tee shot, then the golfer must re-tee and will be hitting his third shot, instead of second, due to the penalty stroke.
If a golfer is unsure as to whether his golf ball is in play off the tee, then that player can hit a provisional, which would serve as the re-tee shot in case the first shot results in a lost ball.
A golfer who does not re-tee after hitting a ball out of bounds, and instead drops a ball from the nearest point of where the ball went out, will be disqualified from a competitive event or tournament. This is also known as getting DQ'd.