If it's a fixed bitmap map, I'd go the route of hit colors.
Behind the scenes, I'd have an additional bitmap, with the same size as the first, where each country is a single, unique color. Finland red, Egypt white, Germany black and so on. Then, when you get a click on the map, check the color on the same coordinate on the color hitmap, and reference to a table. So, a click on a red pixel means Finland.
To light up the countries, I would then try to generate an alpha overlay map from the color map. In other words, (assuming we selected Finland), create an alpha overlay where all the red pixels in the hitmap are fully transparent and everything else is, say, 75% transparent, and color of the entire overlay is black. Then, just overlay that map on the display map. Finland will be at full brightness, the rest will be slightly dimmed. (Of course, these overlay maps could also be pregenerated, but that would require a full size image for each country, so it would be pretty wasteful.)
(bonus points to whoever can spot the hidden reference in this post)