How would I go about making a country?

I think that I would like to make a country, so how would I do this without taking over another country? Could I just succeed from the US after I've bought land? What countries could I buy land in and succeed? Could I make it like a Native American Reservation? What islands are available and/or not part of a country? Just anything to do with acquiring the physical property would be helpful. Or anything about border laws if there are any.