In the Flatrate settings, you can add a new shipping method by clicking the link. Fill out the form however you want, but I suggest using the same text for the Line Item Label for all three methods so the customer doesn't see the difference during checkout. You may have a good reason put different text there, though. Make shipping methods for UK, Europe, and the world. Then go to the Quote methods settings to enable the new flatrate methods.
This last part also makes new Workflow-ng configurations active. Go to Site building > Workflow-ng to see them. Click on the name of the configuration to add conditions to it. When you add a condition, select "Check an order's delivery country". The resulting form allows you to change the name of the condition, which I suggest you do. Select the countries that are appropriate for the configuration you clicked on earlier. Hold the Ctrl button to select multiple countries. For the Worldwide shipping, it's easier to check the Negate box and select all of the European countries (including the UK).
After adding conditions to all three configurations, you should be done. Go check out a few items and test changing the country field. The postal code field updates the shipping calculation when it's changed, or you can just click the button.
Hope that helps.