Я
еду в Европу (unless you are going there by foot). Я ид
у домой. я подъезжаю к магазину.
Generally "к" means that you approach some object, but do not enter it, because it's either physically impossible, or it's not your intention (at the moment or in general).
Я подошел к нему - I approached him
In "Я подъезжаю к магазину" it's used because the person in question approaches the store in his/her car, and that's exactly what s/he wants to tell you. We don't even know if this store is the main destination of this trip (is he going to buy something? is he meeting someone near the store? or just passing by?). The store is just a convenient reference point.
Saying "Я еду в магазин" you state your intention - you are going there to enter the store (for shopping or whatever), and that's the focus of your sentence.
Я
еду в Европу - the same logic is used. You are going "inside" of Europe, i.e. you are going to spend some time within its borders. It's possible to say "Я еду к Европе", but it describes your direction (you are moving towards Europe from some other point), not your point of destination.
Or, trust me, from the Russian point of view it doesn't.
Many Russian ESL learners struggle with ambiguous things like this, and almost everyone at one point or another tried saying something like "I'm going IN England". Because - CAN IT BE? You are going to be IN England, but it's not "in", but "to"?? Weird, right?