Your nation is added to the game by the Game Master, or someone trusted by the Game Master. You get to choose the name, leader name, race, nation mark (used for display) and magical order for your nation. The choice of race and magical order are important: each race comes with certain characteristics (dwarves are better miners; elves are more intelligent, have good magical aptitude; orcs reproduce like crazy and so on...). The magical order determines what spirits you will be able to summon, and which spells will be available for you to cast. Apart from the advantages of each race and magic order, they largely determine what role you will play in the game.
When you first look at your country you will see sectors with letters on them. Each of these is a sector designation from which you can tell what your country uses the sector for. You can change these designations once you own a sector; this will typically cost money, and maybe metal and jewels.