The country you enter determines where we check your rankings.
For example, if you choose the US we will check your rankings in www.google.com (Google's US locale) and if you choose the UK we will check your rankings in www.google.co.uk (Google's UK locale).
But what if you serve customers worldwide? Well, currently we only search within one country so you need to select one.
What country you should choose depends upon where you want to be most visible, AND where you are based.
Our advice - especially to start - is to focus on the country where you are located. Google will know this anyway, and most likely deem you most relevant for that country.