The correct answer is option 4, Myanmar. In February 2011, Myanmar elected Mr. Thein Sein as its first President. It is important to note that Mr. Thein Sein was a military general who turned into a civilian leader.

Option 1, Malaysia, is incorrect as Malaysia did not elect Mr. Thein Sein as its President in February 2011. Malaysia has a different political system and a different leader during that time.

Option 2, Costa Rica, is also incorrect as Costa Rica did not elect Mr. Thein Sein as its President in February 2011. Costa Rica has its own political system and a different leader.

Option 3, Thailand, is also incorrect as Thailand did not elect Mr. Thein Sein as its President in February 2011. Thailand has its own political system and a different leader.

In conclusion, the correct answer is option 4, Myanmar, as it was the country that elected Mr. Thein Sein as its first President during that time.