select city from Country where country = @country
will get you the data you want.
select country, city from Country order by country
will get you the data in order so you can build a tree view, jumping to a new node when the country name changes.
You have not indicated if you're using web or windows, winforms or WPF, ASP.NET or MVC, so it's really hard to give any more info than that.
This[
^] article shows how to bind XML to a tree view, that seems like the logical format to use, and you can write SQL to return it.