Not usually. A dry socket is caused by the loss of the blood clot that formed over the bone after the extraction. It can be very painful because there is exposed bone. You should see the dentist who did the extraction so that he can put some medication in the socket to help it heal.
Dry sockets usually occur when the blood clot from an extraction has come out. It is extremely painful, but leave it alone and it will heal on it's own.
No, you need to go back to your dentist when you get dry socket. It its very painful. He will need to take a look at it and find a proper course of action. The dentist will probably give you some pain meds to help you get through all the pain.