OK. What this is what works for me in Oracle:
1) Create a blank report
2) Create a String prompt and call it 'Country'
3) Create a formula with this code:
stringvar array s;
numbervar i;
stringvar fin_s;
s := (Split({?Country},","));
for i := 1 to ubound(s) do
(
fin_s := fin_s + "'" + trim(s[i]) + "'" + if i = ubound(s) then "" else ",";
);
"("& fin_s &")";
4) Insert the report in question that contains the Command Object as a Subreport and place it on the Report Header
5) Right-click the Subreport > Change Subreport Links > Move the formula created in Step 3 to the pane on the right > Look for an option towards the bottom left that says 'Subreport parameter field to use' > Choose the Country prompt from the dropdown
6) Suppress all the sections of the Main Report except the Report Header
7) Run the report and type in the values as:
Mexico, USA, France, England and so on...
8) If you do not wish to use the Subreport method, create a Stored Proc that accepts a comma delimited string as the prompt value and handles the additional tasks like splitting the values by comma and adding single quotes and brackets.
-Abhilash