Before embarking on a project of this magnitude, you'll want to become familiar with programming in Mathematica in general. Please take a look at the Mathematica virtual book (http://reference.wolfram.com/mathematica/howto/UseTheVirtualBook.html) if you have not already. 

You're looking to make a map with some colors. If you are refering to a country as list in CountryData, you can use it (http://reference.wolfram.com/mathematica/ref/CountryData.html).

Country data doesn't have shapes that represent parts of individual countries though, so you'll probably need something like an SVG file of the regions you want to color. Here are some examples online where people have imported files with geographic shapes and then made a color map of them:

http://mathgis.blogspot.com/2009/11/make-us-county-thematic-map-using.html
http://stackoverflow.com/questions/8957067/mathematica-north-america-map
http://stackoverflow.com/questions/7468271/what-would-a-minimal-example-for-a-choropleth-map-in-mathematica-look-like