You need to map your Region flexfield segment (see: Setting up a Region segment) to the Geography dimension.
Use the Flexfield Mappings window.
In the Flexfield Name field, query Additional Location Details.
In the Dimension region, enter a dimension of Geography with a level of Region.
Save your changes
Click the Segment Mapping button.
In the Context Code field, enter Global Data Elements.
In the End User Column Name field, select the name of your region segment.
Close the Segment Mappings window.
Save your changes and close the Flexfield Mappings window.
Once you have performed this procedure, you can populate the Geography dimension. See: Populating the Geography Dimension