Thanks !
I've updated the macro this morning to use the GetPolygon() routine (as suggested by Clyde): It's now VERY FAST !
To answer your question, I think it can be adapted to other countries.
For France, I've found a kmz file (link) with regions & departments. In GoogleEarth, what I've done is to save as individual kml file each regions (AL.kml, AU.kml, ...). Then, I've some executable/scripts (expat, sed, awk, bash) that extract the polygon (AL.txt, AU.txt, ...) from the kml files (for some regions, there are many polygons in the kml (lakes, islands, etc) so I decided to select the first one in the file).
Do you know if there is a map for the UK ? Recently, I've found there some caches and the "state" field is also "Nil". Maybe we can try with it !
Nicolas