Create datasets for each parameter values with each dataset query is filtered with the value from the other parameter value except country.

for eg

create sate dataset with query like

select State from tblState where Country=@Country

@Country is passed from the Parameters!Country.value in dataset properties-Parameters section

goto State param --Available values -->From Query -->[Select state dataSet] -set Value field and LabelField

do the same for District and Region with State and District params respectively