Starting from a simple outline map of Europe:
The first thing I did was to constrain the map to black-and-white only so I could get clean selections. Image > Adjustments > Levels (Ctrl-L), and pull the handles on the histogram inward so that the grayscale information is removed.
Now I change the Mode to RGB so I can work with color later on: Image > Mode > RGB Color. If you already have more than one layer at this point, make sure you click "Don't Merge" in the dialogue box that pops up.
Select a country you want to add color to. I'm going to use England for this demonstration. For convenience in trying several techniques, I'll first save the selection: Select > Save Selection... and give it the name "England." The selection will now appear in the channels palette so I can reload it any time I want.
I'm also going to copy England into a new layer so I can experiment with that, too. Layer > New > Layer via Copy (Ctrl-J).
I name my original map layer "Europe" and the new layer "England" so I can keep track of what I'm doing.
The simplest way to accomplish the goal is to apply an Inner Glow layer style to the England layer. Select the layer, and click on the Layer Styles button. Choose "Inner Glow..."
In the dialogue box that follows, make sure "Preview" is checked and start playing with the options until you see something you like. Here are my settings: