ZZTIA: It makes no difference to Canada Immigration if you marry in Canada or Europe. That is personal preference, so as long as you are legally able to marry in either location, just choose the one that suits you best. Keep in mind that if your girlfriend is not currently in Canada and she is not from a visa-exempt country, then she would need to apply for a tourist visa and there is always the possibility that she will be rejected for this. So getting married in Europe may be easier depending on what your circumstances are. Once you are married, you would need to complete the application forms here:
http://www.cic.gc.ca/english/information/applications/fc.asp You will need to complete the sponsorship application, the permanent residence application and the region-specific forms relevant to the country that your wife is from. Good luck!