Just click on a country on the map and you will get a sliding panel with brief information. To get all the data click on the button "Details" which is located on the top-right section of the panel

As first step you should select a category; based on your selection, the drop-down control for indicator will be populated with the available indicators for the selected category. When you will select an indicator the View Data button will appear. You may filter the regions or countries you are interested on by selecting them using the drop-down controls for region and country.

First select the indicator you are interested to work on, then select more than one region. A button will appear to let you compare the data

You need to first select one country and reach the details page by clicking on the details button that appear in the sliding panel; then click on the button "Compare to other countries" that is located on the top bar close to the Country name.