Usually you'll want to create a report from a query that pulls together data from two or more tables as your record source. You'll create a query that combines key fields from tblCountries, such as area and population, with fields from the other tables that will display the government type and historical legacy.
The source of a report doesn't have to be a query. For example, you can create an AutoReport, a simple columnar listing of all fields and field values in a table, by selecting the table in the Database window and choosing Insert, AutoReport. In that case, the source for the records is the table itself. But because the power of a relational database is manifest in bringing together data from different tables, queries are a much richer and more pertinent example.