Your question is not clear. Are you speaking about Google Analytics or Google Webmaster Tools?
You should set geo-target in WMT if you're targetting a non-US country with a generic TLD.
Hey man
Yes it helps mate , I have one of my sites targeted for some country
And I'm ranked #1 there for the keyword , while in other countries I'm #5 at least
(Though my domain has international tld )
Here is some little experiment of mine:
I own an affiliate .org site that was positioned on the 12th position. After I've set the geotarget on "Romania", my site went up on the 6th position.
Does it help? Definitely!