By default, only the US is enabled on WPL, but you can add more countries. First, go to WPL->Locations menu and then click on "Show all countries" button.

Then search for your desired country and enable it. You can add new countries if needed as well but it is recommended to enable current countries instead of creating a new one.

Then click on "Load Next Level" to add second level locations (State/provinences etc.)

And add all of your second level locations.

You're finished! From now on, you can select a new country and its second level locations while adding/editing a property or from the search widget.