It's already in the ajaxtabs.css file for the various types (classes) of tabs you can use. The default is .shadetabs. So either you took it out, or the page is not using that file for some reason, or you're not using any of the optional classes to style the tabs, or there's something in the other styles that's overriding it.
Or something else.
In many cases the suggestion made by bluewalrus would work because it relies upon the id rather than the class. However, if you've used a different id, which is allowed in the instructions, it won't work. Even if you're using the #countrytabs id, some of the above possibilities as to why it might not be working could still apply.
It's really a guessing game unless we can see the page.
If you want more help:
Please post a link to a page on your site that contains the problematic code so we can check it out.
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