Instead of OnObjectSave, I'd just set a field validation to require a value in Country::Country. That kicks in at the same moment and protects all layouts you might have from permitting a missing value in this field.
For your script, use OnObjectEnter and add an Exit Script [False] step. OnObjectEnter will need to be added to all your fields if you want to keep the user from clicking into any other fields before they select this value.
If [IsEmpty (Country:Country)]
Go to Field [Country:Country]
Exit Script [False]
Phil: I see your solution - a good idea - I didn't think about needing the script to all other fields in the layout. The field validation alone would not work for me since the "not empty" requirement only works whent he record is committed. One additional question though: how do I get your script line "Exit Script [False]"? I see no option for "False" and if I type it as a result the resulting line is "Exit Script [Result:False]"
The validation rule is just to take the place of the OnObjectSave trigger and to make sure that any "holes" in your script triggers don't let the user get away with an empty field. The OnObjectEnter script trigger then catches the error at an earlier point to make things a bit more user friendly. I'd also add a show custom dialog to the script to tell the user why their cursor has popped back to the country field.
Exit Script [Result:False]
Is the correct syntax. I forgot that Filemaker adds in the "Result:" tag.