Unless they have a cable modem, European users are subjected to high charges for downloads. I used to do beta testing on a program that included a large number of German participants. They were constantly bitching about the enormous German phone-line charges that the beta-testing cost them. Their socialist phone corporation had stiff charges for local calls. I can well believe it.
Sure, you can download MS Media Player 10, but it's a large program, and it would probably cost a bundle for any Euro computer owner who had to use a phone modem.
It really depends on the individual situation. Some dialup ISPs just give you a toll number to call, while others have toll-free numbers (such as Telekom). Also, competition for phone service is kicking in, so you can get some pretty good plans now. Cable isn't as popular over there, but DSL is, mainly because it's supported by Telekom, and it's not very expensive. In that case, downloads work just like they do for anyone here on broadband.
If you're on the net a lot, DSL is actually cheaper than dialup since nobody with a toll-free number offers unlimited time online. The only way you're screwed is if you need a lot of net time and you're in one of the few areas that doesn't get DSL, as I was (I was within 100 meters of being able to get it).