It depends. If your employer had a valid New Physician Panel in place at the date you were injured, you will likely be required to choose a doctor from the list of doctors on the panel. If the panel was not advertised, or if the panel was not valid, however, you may (and probably will) be free to choose your doctor.
If you are not happy with your first doctor for any reason, you have the right to make a change to another doctor without permission from your employer or its insurance company. Note, however, that if your employer had a valid New Physician Panel at the date of your accident, you are limited to making this change to another doctor on the panel. On the other hand, if your employer does not have a valid New Panel, you may (and probably will again) be able to make this change to any doctor you choose.