A spell or ability that counters spells can still target Fry. When that spell or ability resolves, Fry won’t be countered, but any additional effects of that spell or ability will still happen.

If the target creature or planeswalker is an illegal target by the time Fry tries to resolve, the spell won’t resolve and will be put into its owner’s graveyard with no effect. This is true even though it can’t be countered.

Fry : règles, fonctionnement et interactions (MTG)

Fry is one of those cards players keep asking about. Here is, in plain words, what its official text says, the rulings published by Wizards of the Coast, and the combos players actually run.

Official card text

This spell can't be countered. Fry deals 5 damage to target creature or planeswalker that's white or blue.

How it works : Fry

Original English text — Wizards of the Coast / Scryfall

#1July 12, 2019· Wizards of the Coast
A spell or ability that counters spells can still target Fry. When that spell or ability resolves, Fry won’t be countered, but any additional effects of that spell or ability will still happen.
No other card is named in this ruling.
#2July 12, 2019· Wizards of the Coast
If the target creature or planeswalker is an illegal target by the time Fry tries to resolve, the spell won’t resolve and will be put into its owner’s graveyard with no effect. This is true even though it can’t be countered.
No other card is named in this ruling.

Interactions with other cards

These cards' text mentions Fry.

Evie Frye

Partner with Jacob Frye (When this creature enters, target player may put Jacob into their hand from their library, then shuffle.) {1}, {T}: Draw a card, then discard a card. When you discard a creature card this way, target creature you control can't be blocked this turn.

Lydia Frye

Lydia Frye can't be blocked by creatures with power 3 or greater. At the beginning of your end step, surveil X, where X is the number of tapped Assassins you control. (Look at the top X cards of your library, then put any number of them into your graveyard and the rest on top of your library in any order.)

Jacob Frye

Partner with Evie Frye (When this creature enters, target player may put Evie into their hand from their library, then shuffle.) Whenever one or more Assassins you control deal combat damage to a player, exile up to one target Assassin card or card with freerunning from your graveyard. If you do, copy it. You may cast the copy.