How do I drop a foreign key in SQL Server?

Try

alter table company drop constraint Company_CountryID_FK


alter table company drop column CountryID

This will work:

ALTER TABLE [dbo].[company] DROP CONSTRAINT [Company_CountryID_FK]

I think this will helpful to you...

DECLARE @ConstraintName nvarchar(200)
SELECT 
    @ConstraintName = KCU.CONSTRAINT_NAME
FROM INFORMATION_SCHEMA.REFERENTIAL_CONSTRAINTS AS RC 
INNER JOIN INFORMATION_SCHEMA.KEY_COLUMN_USAGE AS KCU
    ON KCU.CONSTRAINT_CATALOG = RC.CONSTRAINT_CATALOG  
    AND KCU.CONSTRAINT_SCHEMA = RC.CONSTRAINT_SCHEMA 
    AND KCU.CONSTRAINT_NAME = RC.CONSTRAINT_NAME
WHERE
    KCU.TABLE_NAME = 'TABLE_NAME' AND
    KCU.COLUMN_NAME = 'TABLE_COLUMN_NAME'
IF @ConstraintName IS NOT NULL EXEC('alter table TABLE_NAME drop  CONSTRAINT ' + @ConstraintName)

It will delete foreign Key Constraint based on specific table and column.

First check of existence of the constraint then drop it.

if exists (select 1 from sys.objects where name = 'Company_CountryID_FK' and type='F')
begin
alter table company drop constraint  Company_CountryID_FK
end