MySQL QB has two SQL editors: the query area and the script editor. The first one is for single queries only and the other one is for multiple statements and can be used to step through the script. You are using the same delimiter for both, the command itself and the trigger text. So there must be at least a "delimiter xxx" command.
Open a script tab and put this code in:
delimiter $
CREATE TRIGGER Country_BeforeDelete BEFORE DELETE ON Country
FOR EACH ROW
BEGIN
DELETE FROM City WHERE City.ID = OLD.Capital;
END $
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