Either "a" or "the" are possible, but as you are talking about a specific country ("this country") "the" is probably more likely.
But there are other problems :
1. Your use oft the word "immigrant" which is often considered derogatory. See
this article from the BBC on the language used to describe migrants.
2. The third sentence sounds clumsy because of the way you've piled up the pre-modifiers before "challenges". I much prefer versions 1 and 2