Hi!
Firt, you need to insert jquery in your site, after insert this line in the text area field at the bottom of contact form edit page:
$.getScript(“../wp-content/themes/twentyeleven/js/countries.js”, function()
Change that path to macth your directory.
Call the tag in email by name. In your case: name=”country” becames [country] and name=”state” bacames [state]
(Sorry my English. I’m Brazilian…)