For example, you're probably thinking initially of this country (5)
I believe the answer is:
egypt
'this country' is the definition.
(Egypt is an example)
'for example you're probably thinking initially' is the wordplay.
'for example' becomes 'eg' ('e.g.' can be a synonym of 'for example').
'initially' indicates taking the first letters.
The initial letters of 'youre probably thinking' is 'ypt'.
'eg'+'ypt'='EGYPT'
'of' acts as a link.
(Other definitions for egypt that I've seen before include "Land of the lower Nile" , "Land of the pharaohs" , "Part of Africa" , "Luxor's country" , "Country of pyramids" .)