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Go into the scenario file and create a user defined nation. You will have to establish provinces owned, governement structure and starting Order of Battle (OOB) for the inc file which determines set-up. You will also need to create leader and minister files. You also need to place a flag and shield file in the graphics folder.
Once you have done all of this, if you want to be able to play your new nation you have to change the scenario file to make the nation player playable.
Hope that this helps. This is just a generalized overview. Good luck. MDow