Knowing the names of countries in French is essential for a beginner. Not only will it allow you to speak about yourself properly, but also it will let you understand your speaker when they introduce themselves.
In France, especially in big cities like Paris, Mareseille or Nice you will come across people of different origins and nationalities. It will be easier for you to understand them if you know the names of the countries they are coming from.
What you need to know about the names of countries in French is that they normally come with a definite article (masculine or feminine). However, they are often dropped, depending on the context and the sentences in which they are used.