The correct preposition to complete the sentence "Nous voudrions aller en France l'annee prochaine" is en. The sentence means "We would like to go to France next year."
In French, the preposition used before a country name depends on the country's gender and number:
en is used before feminine singular countries and countries beginning with a vowel (e.g., en France, en Italie, en Angleterre, en Iran).
au is used before masculine singular countries (e.g., au Nigeria, au Japon, au Canada).
aux is used before plural countries (e.g., aux Etats-Unis).
France is a feminine country (la France), so the preposition en is required. The prepositions par ("by" or "through"), dans ("in" or "inside"), and avec ("with") are not used to express travel to a country in French.