According to the French newspaper Les Echos, Microsoft has suggested that when the third generation of the Zune is released (rumored to be this holiday season) it will become available in Europe in 2009. The Zune has been available since 2006 in America.
The way that Zune's popularity is shaping up I'm surprised that Microsoft has taken so long to release it across the pond. Also, the general appeal and advertising of the Zune is a very free-express-yourself type which fits with the stereotypical image of Europe (especially France). I don't know about the file sharing laws in Europe, but if they are more liberal than in America the Zune could prove to be very popular.