Weblogism

XeLaTeX is the easiest approach, it works out of the box:

\\documentclass[a4paper,10pt]{article}

\\usepackage{xltxtra}
\\usepackage[french]{polyglossia}

\\begin{document}
Donne-moi 5\\,€.
\\end{document}

LaTeX requires the use of textcomp to get the euro symbol:

\\documentclass[a4paper,10pt]{article}

\\usepackage[utf8]{inputenc}
\\usepackage{textcomp}
\\usepackage[frenchb]{babel}
\\usepackage[T1]{fontenc}

\\begin{document}
Donne-moi 5\\,€.
\\end{document}