Download the USA countries shapefile from the https://nationalmap.gov/ website at http://dds.cr.usgs.gov/pub/data/nationalatlas/co2000p020_nt00157.tar.gz (this archive is also included in the code bundle provided with this book) and import it in PostGIS as follows:
$ ogr2ogr -f PostgreSQL -s_srs EPSG:4269 -t_srs EPSG:4326 -lco GEOMETRY_NAME=the_geom -nln chp03.counties -nlt MULTIPOLYGON PG:"dbname='postgis_cookbook' user='me' password='mypassword'" co2000p020.shp