You probably want to create a Page.
In that Page’s edit screen, just below the title, you can see the URL that Page can be found at, something like http://country.com/france/
“france” is the slug of that Page, and is highlighted yellow indicating you can edit it. That way the Page can be called “I Love France” or whatever, but the slug can just be “france” instead of the default, “i-love-france”. Technically, it is a “virtual directory”.
Where a normal website you setup yourself with folders that you can then put html files into might be considered “folders and files” like on your computer, the technical term for a folder on a server is a “directory”, and WordPress simply creates “virtual directories”.
Also, like you can setup a folder on your own site, say /france/ and then put index.html into that folder, and access that page then at country.com/france/ or country.com/france/index.html, you can think of this new “france” Page as being an invisible index.html inside of the /france/ directory.
If you then want to create sub-directories inside of the virtual /france/ directory, you can create another Page, and assign the france Page as it’s Parent. In the right column of the Page’s edit screen is a Page Options box with Parent and a dropdown there. More info WordPress Pages can be found here: http://codex.wordpress.org/Pages
You can do this as much as you want, creating a Page “State” that is a child page of France, and then a Page “city” that is a child page of “State”, an “about” Page that is a child of “City”, and so on.
I suggest using Pages for two reasons:
- Posts cannot have parents, and therefor always have a specific directory setup (defined in your WordPress > Settings > Permalinks area), such as /2015/07/04/the-fourth-of-july or /category-slug/post-name or /just-the-post-name … there are a lot of others too, but generally that’s how those work.
- Pages CAN have customized directories like /france/state/city/about/whatever/and-so-on/ because you can nest them using the Parent functionality outlined above. Pages are considered “hierarchical”, meaning they can be nested.
- While Custom Post Types can be hierarchical, however the Codex warns against this as hierarchical post types were only intended for Pages and can bog down your site’s admin area if you get too many. I’ve seen this happen, after about 300 hierarchical CPTs my site stopped working for new content.
Finally, to answer your last paragraph, Pages use the page.php template in your theme.
Hope that helps!