When the criteria is text, it must be enclosed in quotes - usually single quotes, otherwise Access might interpret it as a field name. When the field name doesn't exist, you'll get prompted. Try Country_Name = '" & Me.CountryName & "'"
I coloured, bolded and increased the font to make the single quotes more evident. That would result in "Country_Name = 'Danzig'" or whatever the criteria value is.
The more we hear silence, the more we begin to think about our value in this universe.
Paraphrase of Professor Brian Cox.