You can't do a EU-wide guide easily, because you will need a merchant account at a bank in your country (and you typically can't use one from another country), and you will need a processor that can work with that bank (which will typically be a processor from the same country) and finally a provider that can work with that processor, again, mostly country-bound.

If you're in Denmark I can recommend http://epay.dk as a provider, their SSL relay solution + some AJAX allows you to make really nice payment interfaces that are completely branded and integrated, without the hassle of PCI compliance for your site.

(As processor we use http://pbs.dk, because, well, there's noone else really.)

If you're in Denmark for instance,