For this case, I would just use an IF, because it is simple, easy to
maintain, and likely to help the Query Optimizer generate an effective query
play, e.g.,

If @AndOrFlag = 0
 Select * From #temp
    Where HomeCountry = @ShadowPayrollCountry Or HostCountry =
@ShadowPayrollCountry
Else
 Select * From #temp
    Where HomeCountry = @ShadowPayrollCountry And HostCountry =
@ShadowPayrollCountry

You cold also use dynamic SQL (see http://www.sommarskog.se/dyn-search.html 
for a good discussion of this).

It can be done with a single non-dynamic query, but it would not be a good
idea.  One way would be

Select * From #temp
  Where (HomeCountry = @ShadowPayrollCountry And HostCountry =
@ShadowPayrollCountry)
     Or (@AndOrFlag = 0 And (HomeCountry = @ShadowPayrollCountry Or
HostCountry = @ShadowPayrollCountry))

Tom

Rajeev,

Parameterizing your query with a flag is not a good idea. Apart from the
fact that it cannot be done easily, it will also make your queries very
messy, hard to read and unlikely to run very fast. If someone else ever
has to change your query, he/she will have a hard time figuring out if
the change can be made without rewriting the whole thing.

Another thing. Your original query will never return rows. Since each
row will only have one value in the HomeCountry column, there cannot be
any row for which HomeCountry is both 'USA' and 'JAPAN'. So if you don't
mean 'USA' OR 'Japan', then I don't know what your query is supposed to
return.