I havent used OpenX. But I did use MaxMind open source country geo targeting database, and some code I wrote.
I didnt geo target the whole page, because it could come across as blackhat if your content changes depending on the country hitting the page. But I did geo target advertising elements of the page where text links and banners were placed.
My methodology was.
grab the users IP
Check it against the database for the country
get advertisements for that country
pass those advertisement as variable down through the page
Its really very simple.
I can show you how to do it if you want.
Also here is the maxmind database I used :
http://www.maxmind.com/app/geolitecountry