You don't really need the cursor for this. Adjust your query as follows (in SP)
CREATE PROCEDURE EMPLOYEEdETAILS
AS
BEGIN
SELECT e.*
FROM EMPLOYEES e
INNER JOIN COUNTRIES c ON e.country = c.rec_id
END
You could also add the parameter @country_id to SP to be able to filter only employees from a given country.
I would also change the column name employee.country to employee.country_id because that is what it is, more precise then country (I would expect name or code of the country in such field)
In the code, remove the reader and simply fill the dataset (there are lots of examples for this)
NOTE: if you for some reason want to keep the reader then you have to go through all rows calling reader.read until there are no more and accumulate them into datatable.