I exported my Z to Canada (and back again) from the US.
There aren't really any regulations for *exporting*, you just have to present the title/etc to the border and they stamp it, no cost, see:
Exporting a Motor Vehicle | U.S. Customs and Border Protection
*Importing* is a different matter. I had to pay fees, taxes, and get my headlights hardwired as DRLs for Canada. Europe will have its own rules and I can't help you there.
If you buy a car in the USA you generally don't have to pay sales tax (tell the dealer you're exporting it), usually that's paid when you register the car. (I bought my car in Colorado and didn't pay any tax).
A US shop would probably have no problem installing Euro headlights, if you know exactly what you need done.