Go to SETUP | PARAMETERS | COUNTRIES to manage the visibility and Sort Order of the Country names that appear in the Country field of your Guest Information. See Booking Details
To sort the entire list, use the Sort fields at the top of the list: "Find Records where", "Sort by", "Display" and "Records".
All country names are set to "live" by default, however you may not need the entire list or want to customize the sort order so that the most common country names appear at the top of the drop-down list.