1, I want to create a country field, but where do I add the countries list?

You don't have to. They are already added by default. You just need to drop the country custom field into the profile type form builder. See my screen shot here, http://take.ms/1gRqAb

2, I want to create a list, allowing single choice and multiple choice separately? which field do I have to use?
where I set the value?

You can use the dropdwon field and just like the rest of the fields, you can configure the options accordingly. See my screen shot here, http://take.ms/opvCT

3, which is the difference between the multilist, checkbox, and multi drop down field? Can you give me an example?

Multilist is list which you can select one or more value
Checkbox is a checkbox, you can check more than one value
Multidropdown is a dropdown which you can select more than one value
Dropdown is a dropdown which you can only select one value.

Thank you for your patient reply.
What is the difference among text, text area, and text box?
Thank you Mark.
Regards,
Stephen

Hello Stephen,

Let me try to briefly summarize them below for you:

textbox = a simple textbox input
text = allows you to display a text to the user (no input here)
textarea = a larger version of a textbox (To allow users to type longer text, generally)