Hi,
You can go in the menu System>Zones and disable the countries you don't want there. That way, users will only be able to select their address's country in the list of remaining published countries.
Alternatively, you could leave all the countries published, and restrict your shipping methods in System>Shipping methods to only a specific set of countries with the "Zone" restriction setting of the shipping methods. This would allow users to enter their address in any country, but they would be blocked with an error message during the checkout.