What you are trying to do has nothing to do with validation.
for this you would use the Dynamic Drop Downs tool.
Create a recordset to return the Countries
Create a parent list on the page, and use the countries recordset to populate it. use the id column as the value and the country column as the label
Create another recordset for the CountryList table.
On the server behaviors panel, Click the plus button and select webassist -> Dynamic Drop Downs -> Create Dynamic Array.
Select to use the CountryList recordset. use the CountryCategory column as the Parent ID, the id column as the child ID and the shops column as the child lable.
Add the child select list to the page.
in design view, select the parent list, then open the behaviors panel, click the plus button and select webassist -> Dynamic Drop Downs -> Populate list from array.
use the CountryList dynamic array, select the main list as the parent list and the second list as the child list, make sure the behavior is applied to the onchange even.