First, go in config folder in your HoI2 directory and open file world_names.csv. There you can see country tags and reserve tags - from U00 to U19. There will be (User Defined) caption right to them. Replace this caption with the name of country which you want to add - and so the U** will became tag for this country. Further you must add flag and shield for this country, for this look in folders gfx/map/flags and gfx/map/shields. File with flag must have name flag_u**.bmp, where ** is number (but I think you understood this) and file with shield must have name shield_u**.bmp. This is the minimum, and the same way you can add ministers, techteams and leaders for the country. And ajust where it can revolt by editing db/revolt.txt.