2. Go to the country embassy web site, and check the VISA requirement.
example: France
http://www.info-france-usa.org
Travel VISA requirement ( Shengen )
http://www.consulfrance-washington.org/spip.php?article384
3. Prepare the required documents, make appointment or walk in for the VISA.
4. One EU country might has its own requirement, but in general, you have to follow without discount.
5. Good luck.