How easy (or difficult) is it to have a Continent/Country/City drop down menu?

Where one select from Drop Down Menus (for example):

1 - Europe

2 - UK

3 - London

and then writes the Province/Area (for example: Essex).

Realistically, how long should it take an experienced web developer to write the code of the above, as well as to link this selection to a Browse function and database storing?

I do not have a geographical database yet and I am wondering what the fastest and cheapest way to add it to the drop down menu is. Is there any way to get that geographical database for free?

I can see this type of geographical drop down menu in thousands of websites, but I am struggling as to how to implement it ASAP.

Follow Up: Tks All x your answers and comments so far. I hear what you are saying. I understand that there are rare occasions of Countries with multiple (same) name Cities and that it might be disputable whether a Country belongs to a certain Continent/Region or not (see Russia x example, Europe or Asia?). Anyway, please take a look, for instance, at this website Sign UP screen http://www.couchsurfing.org/register.html My question then is: Where do I get that list (Country/Cities) and how do I create that _array? Manually copying it somewhere else (which would take me ages) or are there ready made lists that can be downloaded from somewhere for free?