Here's the rules: pick a country or region you'd like to rule over. Of course you cannot pick one that has already been taken. also, you cannot pick all of America (for instance), but only one state. Same goes for Russia and China - pick a region, not the whole giant country.
Once you've chosen your domain:
- rename it to something you like (the funnier the better)
- give yourself a nice title ("his excellency, methastasius the supreme master of sugarland"?)
- choose a residence for yourself (a pink castle with seven towers?)
- make a few laws you'd like to introduce (yes, make silly laws like "blue socks are banned"!)
have fun and be creative!