A GSM cell phone require a small device called a SIM card, to allow it to receive and make calls. Each GSM network provides a SIM card that will allow you make calls at the local rates and receive calls in that country for free. Once you leave that country , you will be charged much higher international roaming rates to make calls.
While most of the GSM network providers will sell you a phone with a SIM card, their phone will be locked to their network and SIM cards from other GSM networks will not work in the phone.
If you wish to use a european SIM card you will need an unlocked cell phone that operates on the GSM 900, GSM 1800, and GSM 900/1800 dual-band networks.