This can be done multiple ways, depending on how your data and links are set up. Three ways off the top of my head are:
1. The easiest way is to just use personalization within the link:
<a href="http://somelink.com/<%= recipient.country %>/download.pdf">...</a>
2. You can also use if/else or switch statements in the HTML template if the links are drastically different.
<% if (recipient.country=='XX') { %>
<a href="">Some Link</a>
<% } else if (recipient.country=='YY') { %>
<a href="">Some other link</a>
<% } else { %>
<a href="">Default</a>
<% } %>
3. You can create and populate a lookup table that you can join to the recipient table on country code and populate it with all the links. This is better than #2 to manage (IMO).
Depending on how you set it up, you just reference it as personalization data in the template. I left off the "https", as you will need to add it in the template so Adobe can add tracking:
<a href="https://<%=recipient.countryLinks.url %>">...</a>