Mod edit : OT
MS isn't doing as well in Europe likely has more to do economic factors combined with the fact that PS2 was incredibly well loved there and that PC gaming in certain European countries (Germany especially) still dominates sales.
Someone earlier noted that in the US you could likely attribute much of the uptake for X360 to have come from former PC gamers who saw their beloved PC games move to consoles. COD 3 for example was a console exclusive after it gained it's popularity on the PC. Oblivion moved to PC. As PC franchises made the move to consoles so too did many former PC gamers.
Combine that with flawless voice chat that is ubiquitous and requires no "fiddling" (compared to having to fiddle with Teamspeak/Ventrilo/etc.) and no need to hassle with drivers, etc. and users in the US were primed to move to X360 en mass.
When you consider as well that the US PC gaming population was much larger than the PC gaming population in Europe, that can account for much of the large disparity. Especially when many European countries remain quite attached to their PC gaming experience, thus even less European PC gamers made the switch.
As to the economic position. While there are certainly some affluent European countries (UK, Germany, France) there are also some not so affluent European countries (Spain, Greece, etc.). Those with more money can afford to consider multiple console purchases. Whether that is PS3 + Wii, or X360 + Wii, or PS3 + X360, or all three. Hence, X360 uptake in the UK was good, Germany PC gamers stuck to PC while PS2 gamers likely went to PS3, and who know's what's up with the French.
However, if you are in a less affluent country and you have less buying power. You may only have a choice of 1 console. If you can only own one console are you likely to go with a follow up of the console you already love (PS2 -> PS3), go with a console that is cheaper with a new experience (Wii), or a newcomer with a bad or nonexistant reputation from the last cycle (X360). I'd argue people in those countries would likely favor going with the tried and true and stick with PS3 (once you can afford it) or buy a Wii. And that's what you see in countries like Spain and Greece.
The RROD issue would only discourage further those with limited buying potential from investing in an X360, especially before MS implemented their extended replacement policy.
Unlike the Japan environment, nationalism doesn't even come into play in Europe or the US (where Japanese products often have or had a better reputation than their US counterparts).
Regards,
SB