What you shouldn't do:
Proxy:
Sure you can browse the Steam Store using proxy servers in USA and see everything in $ again. But if you want to buy anything you need to:
1) pay with American VISA or other US credit card
2) American PayPal or any other payment method that proves you're in US
What happens if VALV_ finds out?
You will be banned somehow probably or your account will be disabled permanently. Yes, there is nothing about proxy in the Steam Subscriber Agreement, but still VAVL_ will act against it.
So simply don't try it.
It's easier to ask your friend outside Europe to buy something for you!