Western Sahara is a territory actually administered by the kingdom of Morocco. So its somehow part of Africa.

TIMELINE. 1884 - Spain colonized Western Sahara, an area formerly populated by Berber tribes. 1934 - Becomes a Spanish province known as Spanish Sahara.

it most likely to be found in the middle of Africa....

Yes. Western Sahara is technically in the Western Hemisphere. However, it sits rather close to the Prime Meridian and is part of the African Continent which is mostly in the Eastern Hemisphere.

They speak the Hassaniya dialect of Arabic, Spanish, Freanch, Berber

Third World, yes. Country, no. Control of the region is disputed between Morocco and the Polisario Front.

There is no capital of Western Sahara, it is a independent country.