It turns out he was referring to U.S. States.  Not nation states.

The tape of Osama bin Laden that was aired on Al-Jazeera on Friday, October 29th included a specific threat to “each U.S. state,” designed to influence the outcome of the upcoming election against George W. Bush. The U.S. media in general mistranslated the words “ay wilaya” (which means “each U.S. state”) to mean a “country” or “nation” other than the U.S., while in fact the threat was directed specifically at each individual U.S. state. This suggests some knowledge by bin Laden of the U.S. electoral college system. In a section of his speech in which he harshly criticized George W. Bush, bin Laden stated: “Any U.S. state that does not toy with our security automatically guarantees its own security.”

The Islamist website Al-Qal’a explained what this sentence meant: “This message was a warning to every U.S. state separately. When he [Osama Bin Laden] said, ‘Every state will be determining its own security, and will be responsible for its choice,’ it means that any U.S. state that will choose to vote for the white thug Bush as president has chosen to fight us, and we will consider it our enemy, and any state that will vote against Bush has chosen to make peace with us, and we will not characterize it as an enemy. By this characterization, Sheikh Osama wants to drive a wedge in the American body, to weaken it, and he wants to divide the American people itself between enemies of Islam and the Muslims, and those who fight for us, so that he doesn’t treat all American people as if they’re the same. This letter will have great implications inside the American society, part of which are connected to the American elections, and part of which are connected to what will come after the elections.“

If this is true then New York City and Los Angles are not likely to be subject to attacks from al Qaeda as I had suggested a few days ago.

So it would seem to me this is a pretty clear endorsement for Senator Kerry from Osama bin Laden.