Is there a Bitcoin gadget for Windows 7, which features conversion rate with EUR? (i.e. EUR/BTC)
This is the one I'm using: http://www.domchi.cc/mybitcoins/
Well there is the minimalist Obi-Wan live EUR/BTC ticker app, hosted there: http://dre.tx0.org/
While not technically a Windows 7 gadget, it essentially does exactly what you are looking for and I've been using for a couple months with no issues.
The latest version of MultiBit (v0.3.3 at time of writing) has a ticker from the XChange project. While it is not currently a widget, it does offer a range of currencies from MtGox (with Intersango and others to follow later). I suppose you could resize it to fit your purpose until the "widget mode" makes it into an upcoming milestone release.
You can download it here: MyBitcoins gadget
You could embed the URL [MtGox] http://mtgoxlive.com/orders?currency=EUR (works for some other currencies too) into a Windows gadget but I know of no existing software.