A great article from Mental Floss:

The PIE (Proto-Indo-European prehistoric Eurasian language) root, stā-, or “stand,” found its way into many words in the language’s various descendants. The Russian -stan means “settlement,” and other Slavic languages use it to mean “apartment” or “state.” In English, the root was borrowed to make “stand,” “state,” “stay” and other words.

Therefore:

Afghanistan is the “Land of the Afghans.” Afghan has historically referred to the Pashtun people, the country’s largest ethnic group.