I purchased Skyrim Elder Scrolls from Australia cause it was selling for a cheap price. However, when I returned to Malaysia and tried to play it on my console it said that there was some kind of error with the country code. Can anyone tell me what I should do?

buy an Australian console

Lots of games have region lock (it's usually a console ting but these days it is invading PC games as well). Publishers don't want people buying and reselling games in countries where the games are more expensive and also as a way to help the local distributor of that region.

Moral of the story: Don't buy games overseas unless you know for sure there is no region lock on the game or the console.

I think you can work around it by making a new australian psn account. I'm not sure tho but it's worth a shot.

It's for Xbox 360

If it's 360, it probably means that your Live account is tied to Australia where you only can use it in Australia.

I don't think you can do anything about it.