This sentence has three separate checks worth running one at a time: the preposition, the articles, and the verb at the end.
First, the preposition. When something is created or decided by a person or body, English uses "set by," not "set upon." Norms are made by a country, so "set by the country" is the only version that shows the right relationship.
Second, the articles. Both "the norms" and "the country" refer to one specific set of norms and one specific country, the one being visited, so both nouns need "the" in front of them. Dropping either article leaves the sentence sounding like a general statement rather than the specific one intended.
Third, the verb "visit" at the end. The word "they" here stands for "tourists," a plural subject, so the verb has to stay in its plain form, "visit," never take the singular "-s" ending.
Only the version with "set by," both instances of "the," and "they visit" passes all three checks.
So, the correct answer is Tourists must follow the norms set by the country they visit.
Reading each of these sentences aloud brings a different rough patch to the surface in three of them.
Each of the other three sentences trips the ear at a different spot, while this one reads cleanly the whole way through.
So, the correct answer is Tourists must follow the norms set by the country they visit.