You mean you want a countries custom field, for example, where the options for the countries are already set and you don't have to enter them manually yourself?
I answered a similar request recently, could you check my reply there and if you still have any questions let me know here?
Sorry, the fix for the hidden links hasn't been rolled out yet.
This is the link in question: hidden link
Those modules include a custom field for countries.
If you want a taxonomy with countries then you will need to make it yourself, but the BulkPress plugin I mentioned in the other thread will allow you to do that very easily.