The first European Internet connection was to Norway in 1971.

To quote from the Norwegian ISOC chapter:
In 1971, NORSAR (NORwegian Seismic ARray) at Kjeller just outside Oslo was connected to the Seismic Data Analysis Center (SDAC) in Virginia with a fixed, 2.4Kbits line. NORSAR and SDAC were financed by DARPA (US Defence Advanced Research Projects Agency) for the purpose of monitoring the early nuclear test-ban treaties, the Norwegian array being ideally situated close to the Soviet test sites on Novaja Zemlja in the Arctic.
(http://www.isoc-no.no/isoc-no/social/isoc-no-art.html)

Also in Wikipedia (if you trust that source) it is stated that:
The first ARPANET connection outside the US was established to NORSAR in Norway in 1973, just ahead of the connection to Great Britain.
(http://en.wikipedia.org/wiki/History_of_the_Internet)