With the World application, which was available from the iPhone App store (but not on iTunes, complained it wasn’t available on my country’s store), I managed to get to the point of setting up the Security key, at the stage: enter the serial number.
However, it fails with the message:
Sorry, we couldn't find your serial number. Try again?
Which may mean that the EU/World app isn’t hooked into the backend system yet, as it seems to work for people located in the US.