Try Spain and its capital, for example (5)
I believe the answer is:
essay
'try' is the definition.
(essay can mean to try or attempt something)
'spain and its capital for example' is the wordplay.
I cannot really see how this works, but
'spain' could be 'es' (es is an abbreviation for Spain) and 'es' is located in the answer.
'for example' could be 'say' ('say' can be used to introduce an example) and 'say' is found within the answer.
This accounts for all the letters.
This explanation may well be incorrect...
Can you help me to learn more?
(Other definitions for essay that I've seen before include "Thesis" , "Old experiment" , "Try; short written work" , "What may be written in exam" , "Short treatise" .)