http://www.reddit.com/r/AskHistorians/comments/yebty/why_are_some_countries_named_differently_in/

There you go. Short answer = different languages have different names for things including countries. The idea that we should call a country what the 'natives' call it doesn't work, because lots of countries have multiple languages and multiple 'native' names. For example should Switzerland be German 'Der Schweiz', French 'Suisse' Italian 'Svizzera' or Romance 'Svizra' ?