Create a table, called countries, with your various countries. Have a number column -autonumber would be a good idea.
In your customer Data, or sales data, or whatever you are trying to filter, add a column called Country code, as a number, (long integer). Set the field type as combo box, and the wizard will let you pick the country table and set it up for you.
When you add countrycode to a form, it will then automatically be shown as a working combo box. You can do all this manually, but using automation will let you see how it works anyway. Most of us probably do it manually as we prefer to make some of the choices ourselves.
The country will be stored as the numeric value, but will be displayed as the text value from the countries table corresponding to the selected number