If you want to go to the country settings go to Configuration -> Countries
From this window you can Publish/Unpublish Countries, Export from and import to CSV or Add new countries by clicking button in the top-right corner.
Name - Name of country
Allows billing - Allow billing to customers located in this country
Allows shipping - Allow shipping to customers located in this country
Two letter ISO code - Two letter ISO code for this country. Complete list of ISO codes is on http://en.wikipedia.org/wiki/ISO_3166-1_alpha
Subject to VAT - Value indicating whether customers in this country must be charged EU VAT.
Published - Defines if this country is published or not
Display Order - Display order on the country list.