One option would be to create three separate sheets, one for country, state and county. Then, create two filter actions. The first filter action will originate from the Country sheet and target the State sheet. The second action will have the State sheet as the originating sheet and county as the target sheet. Then, when a user selects a country, he will be brought to all the states within that country. Then, when a specific state is selected they will be brought to the county sheet with all that state's counties.
Hope this helps!