Need help creating a dynamic selection using jquery

Trying to make a dynamic selection using jquery and requesting data from a server side script using a url.

So i want to request data from a URL to populate my selector.

enter code here <script type="text/javascript">

$(document).ready(function(){
$("button").click(function(){
   
$.get("CountryData.php"), (function(data, status){
    alert("Data: " + data + "nStatus: " + status);
  });
});

});“

This is what ive been trying but as a first time user of jquery im baffled