In your "my profile" display, on the left side of the screen (directly underneath your level movement bar) are three little boxes: "my messages", "account", & "log out"
Click "account" and choose "edit" for your address file. Edit your country name; but if you're from a country not recognized by WGT, then you'll have to contact them directly.
Once the change has been saved, you will need to refresh the page for it to be established - you can then go back to account, address file, and see if the edited country is there. The only way to be sure your flag displays is to start an alternate shot game and see if it appears on that challenge page - or join one.