How can I create A Report based on counties?
This is a good question!  I don't believe there's a report that lets you filter by county "out of the box".  Instead, you can create a smart group, then filter by that:


Go to Search menu » Search Builder.

Build a search using the criteria as I've outlined them in Screenshot 1 below.  Note that assuming you're in the US, there's two "Adair" counties, but no good way to know which is which.  Look at your search results to make sure you're getting the right one.
Press "Search".


Depending on your needs, you might be done!  This may be all you need.  If you need to use this as the basis of other searches/reports (e.g. "show donations from residents of these 3 counties"), you'll want a "smart group":


From search results, select "All records", then select "Group - create smart group" from the "Actions" menu.  See screenshot 2 below, though if you're using an older version of CiviCRM than 4.7, it may look slightly different.
Name your group, press "Save Smart Group".


Now, when doing future searches/reports, you can use the results of the "3 county" search as a "base group" to search/report within.