I got this information from Wikipedia.
Ask Yahoo! compared the United States Department of State’s list of independent states to a list of franchises on the McDonald’s website, and derived that the following countries don’t have McDonald’s locations:
LATIN AMERICA AND THE CARIBBEAN (13 out of 35 countries)
Antigua and Barbuda, Barbados, Belize, Bolivia, Dominica, Grenada, Guyana, Haiti, Jamaica, Saint Kitts and Nevis, Saint Lucia, Saint Vincent and the Grenadines and Trinidad and Tobago
In addition there is a McDonalds restaurant in the Guantanamo Bay Naval Base, land leased from Cuba that hosts a US Naval facility.
EUROPE (5 out of 48 countries)
Albania, Armenia, Bosnia and Herzegovina, Northern Cyprus and Vatican City
THE MIDDLE EAST AND NORTH AFRICA (7 out of 19 countries)
Iran, Iraq, Libya, Syria, Tunisia and Yemen.
ASIA (16 out of 30 countries)
Afghanistan, Bhutan, Burma (also known as Myanmar), Cambodia, Kyrgyzstan, Laos, Maldives, Mongolia, Nepal, North Korea, Tajikistan, Timor-Leste, Turkmenistan, Uzbekistan and Vietnam
SUB-SAHARAN AFRICA (46 out of 48)
Angola, Benin, Botswana, Burkina Faso, Burundi, Cameroon, Cape Verde, Central African Republic, Chad, Comoros, Republic of the Congo, Democratic Republic of the Congo, Côte d’Ivoire, Djibouti, Equatorial Guinea, Eritrea, Ethiopia, Gabon, Gambia, Ghana, Guinea, Guinea-Bissau, Kenya, Lesotho, Liberia, Madagascar, Malawi, Mali, Mauritania, Mozambique, Namibia, Niger, Nigeria, Rwanda, Sao Tome and Principe, Senegal, Seychelles, Sierra Leone, Somalia, Sudan, Swaziland, Tanzania, Togo, Uganda, Zambia and Zimbabwe
OCEANIA (10 out of 14)
Kiribati, Marshall Islands, Micronesia, Nauru, Palau, Papua New Guinea, Solomon Islands, Tonga, Tuvalu and Vanuatu