The Cover Letter or Covering Letter as it is sometimes called forms the first part of the application documents.
Usually the covering letter writing consists of four parts. Initially the summary paragraph of your academic background followed by the most comprehensive paragraph, relating to how the acquired skills can be of benefit to the desired position within the company. In the third paragraph you should mention some facts of the company which you have researched and why it would be so attractive for you to work directly in this organisation. The fourth part forms the end with the obligatory end note. Generic applications (i.e. same covering letter for tens or hundreds of companies) will mostly not work out. It is very recommendable to do a little online research on the specific company before sending out the application. The cover letter format does not particularly differ from country to country. However, choosing a self-confident and career-ambitious style without sounding arrogant, goes down well with most employers. If you already have a visa for the desired country, you should definitely mention that also.
The Cover Letter needs to answer the core question: "What are the specific motivations for you to seek a job in the desired country and company?". For the country, arguments like "to gain international exposure" or "improving my language skills" are most frequently mentioned by fresh graduates. They are obvious, credible and logic. However, the same goals could be achieved in many other countries as well. If you apply for the US, you could e.g. mention "Affinity to the American culture", "Silicon Valley as the most vibrant ecosystem for the latest web technologies", "high economic growth in many industries" are pointing towards the right direction. In your application, it is very advisable to use some of these country- and company-specific arguments. Obviously this can be done in combination with regional and international aspects.
Samples for Cover Letter writing:
Covering Letter 1: Nancy Vermont