Excellent question! You can set up the Shipping Form page in your account, so that it only provides the countries that you specify in the list of choices. On your Store Manager, click “Foreign Orders” within the Order Settings section. This will take you to the “Foreign Orders” page which looks like this:

The countries you choose on this page will display under the Country drop-down on the Shipping Information checkout page. There are several ways that your store will allow you to configure the list of specified countries.
Once you have made your choices and selected them, just click “Update”. And don’t forget to re-publish your Order Settings so that the changes take effect on the live site as well.
Information for this article has been taken from Yahoo! Help
Posted by Joe Everett on Mar 25, 2009
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