Countries are used together with Shipping Rates in order to ascertain what postage and packaging rates a customer should be charged when they buy a product on your website.

So setup countries first, then add that country to a Zone and finally create Shipping Rates.

Click the Add New Country button

Give the new country a name and a code and then click the Add Country button.

Use the Modify Country screen to add a country to a Zone and to also add Shipping Rates to a particular country.