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I don't know of any work that covers the whole of Europe on the History of surnames. You could try Patrick Hanks and Flavia Hodges, "A Dictionary of Surnames" (Oxford, 1988), which is mainly about the meaning of surnames, covering most of Europe, but it has a 45 page introduction that deals briefly with the historical side. There's also a bibliography.
It might be a good idea to look up the subject of surnames, or maybe nomenclature, in the Encyclopedia Britannica, or similar. You'll probably find references to the kind of sources you're looking for.
Another useful book, if you can find it,is Boris Ungebaun's "Russian Surnames". It covers not only Russian names, but also those of other countries of the old Russian Empire, and other Slavic languages, such as those of the Southern Slavs, who were never subjects of the Tsars.
For surnames of the "British" Isles, you could consult Paul Reaney's "The Origin of English Surnames", George Fraser Black's "The Surnames of Scotland", and Edward MacLysaght's "The Surnames of Ireland". I imagine most large libraries in the English-speaking world will have copies of these.
Meantime you might want to look at what Wikipedia has to say:
http://en.wikipedia.org/wiki/Family_name
It's not confined to Europe, and it's mainly about naming customs, but you might pick up some tips on sources.