In your store's Admin area, go to the System > Localization > Locations

Enter 

Location Name: Name of the location. You can define this as anything you like.

Description: Description of the location. You can define this as anything you like.

After you have made your changes, click save button

The Location Zones Tab will appear. Adding Location Zone - click on insert  button.

Select Country and Country Zone.




You can add/remove several Location Zones to/from your Location with no limitations.