Countries are only used in the "Traditional Search" facility.
This will allow you to customise the drop down list when the buyer needs to select the Country he/she is interested in.
To manage these log in and navigate to the Administration Section » Dashboard » Manage Property » Countries
This is a simple screen to change the type or add a new Country.
You need to add at least one country before you can add any Counties/Provinces or Regions.
Countries are ordered alphabetically by Name to make it easy to find if you have a long list.