If it's an HTML <select> element then you can click it to give it focus then start typing the name of option you wish to select.

But it would be easier for the customer if the website guessed from the customer's IP address which country they were in, and put it at the top of the list (as well as in its normal position).

My favourite are the dropdowns that place "popular" countries at the top. This means that if I scroll through the list then my country may or may not be where I expect it based on how the developer was feeling that day.

That sounds like a good little usability trick. I might do that next time I have a countries dropdown in a form.