Europe used to be a place where the main religion was Roman Catholic. Then a guy from Germany, Martin Luther, decided to look deeper into the Catholic Church, and found many faults. The citizens of Germany and other countries were on Luther's side, and he developed a new religion, Lutheranism. This evolved into Protestantism quite quickly, and it spread throughout Northern Europe, whilst Southern Europe remained predominantly Catholic.
However, now Europe has moved into a post-religion stage, where people are making up their own minds about what they want to believe in. Although there is still a large number of Christians, there are also many people who are either agnostic (don't know what they believe) or atheist (don't believe in a God). There are also some minority religions, such as Islam or Judaism, which are generally within smaller immigrant groups. As well as the older religions, there are new religions being taken up by a very small amount of people, such as Scientology.