Not sure if it's all together as "Europe", but I know that you can get all
the individual country-shapes.
If you drop them all on the page and right-click one of them, you can
Arrange To Page.
This will put all the countries in the right place, with the right size.
Then save the whole thing somewhere and share it with the next guy that
needs it : )
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Hope this helps,
Chris Roth
Visio MVP