I've been searching for a kit to start all-grain brewing, but seem to find nothing from Europe. My lack of knowledge might have something to do with this.
My favourite shop in the UK for all grain kits is The Home Brew Shop.
Otherwise as Barking.Pete says there is BrewUK.
For brewing in France there is Pico Mousse.
These guys ship across Europe from Belgium site is available is French, English or Dutch.
If you are in Sweden then Vinland could help.
Also if in doubt a little bit of google, google translate and amazon and you should be able to get all the things you need.
There are many all grain kits available to buy in Europe. The problem is not so much the ingredients as the equipment to handle all grain. That can range from a cool-box and a kettle, a simple Brew in a Bag system up to a BrewMeister automatic system. Here are some links to a typical UK brew shop that sells a range of equipment and ingredients. BrewUK even does all grain starter courses so one can receive instruction before using any system.
This is just an example.There are many more. If one has never brewed before then an extract kits might be a good way to start. It gets the novice brewer used to handling the materials and the quantities involved and is somewhat simpler - but the beer is as good.