Scotland is a country, but not an independent country. In other words, it's not a Sovereign state.
Wikipedia defines a country as:
A country is a region legally identified as a distinct entity in political geography. A country may be an independent sovereign state or one that is occupied by another state, as a non-sovereign or formerly sovereign political division, or a geographic region associated with sets of previously independent or differently associated peoples with distinct political characteristics.
It's quite possible to draw an analogy between the sub-divisions of the United Kingdom and American states - they're both sub-entities of a larger country which have the ability to run themselves within certain limits. However, because Scotland has a long history of being an independent country and the states don't, the terminology is different.