New answers tagged options
It's not clear from your question if the end users are a particular group who will frequently access the site, or whether they're likely to be 'one off' visitors. If they're frequent visitors they will quickly work out they can download a single file quickly or batch download multiple files, so it's really not going to be a problem. Evenso, I would: go ...
A common way to handle this is by adding the selected country to a list of search filters, and then allowing the filters that have already been added to be deleted. Here is a rather crude example: download bmml source – Wireframes created with Balsamiq Mockups After selecting a country, the drop-down is replaced with a deletable tag: ...
Personally, id go with "Any Country" simply because it implies that no filter would be applied to the selection. As far as the other choices, I agree that "No country", "...", and blank can sound unclear. Have you considered "None" or "Other".
Since this select is a filter how about "No Filter"?
Top 50 recent answers are included