Help with 'drilling-down' posts

I need some help with the best way to achieve something using wordpress.
I have a directory site with listings from all over the world, with country, state, city all stored as their own custom fields. The listings are also categorised such as ‘singers’, ‘actors’, ‘models’ using category taxonomy in a custom post type called ‘ad listings’. Make sense?

So, on the home page I have the list of categories as shown above (with a few more than this) and I want it so that when a user clicks on one of these categories, they will then be taken to a page with a list of countries on it. Once they click on a country they will then be taken to a page with a list of states for that country. After they click on their state, they will then be presented with their chosen list of Actors or Models or whatever they chose for their state and their country.

I want this to be dynamic as the directory is quite large and it would be impossible to make up a page for every type of category/country/city.

Does this make sense? And is it possible to do this in WordPress?

Ultimately I am looking to implement something similar to these sites
http://www.gigsalad.com/Solo-Musicians/Bagpiper
http://www.gigmasters.com/

Thanks a lot!