You should not form a company in the U.S. simply to get the identification number required for a W-8BEN form.
By establishing a U.S.-based company, you'd be signing yourself up for a lot of additional hassle! You don't need that. You're a European business, not a U.S. business. Selling into the U.S. does not require you to have a U.S. company. (You may want to consider what form of business you ought to have in your home country, however.)
Anyway, to address your immediate concern, you should just get an EIN only. See businessready.ca - what is a W8-BEN?. Quote:
[...] There are other reasons to
fill out the W8-BEN but for most of
you it is to make sure they don’t hold
back 30% of your payment which, for a
small company, is a big deal. [...]
How do I get one of these EIN US taxpayer identification numbers?
EIN stands for Employer Identification
Number and is your permanent number
and can be used for most of your
business needs (e.g. applying for
business licenses, filing taxes when
applicable, etc). You can apply by
filling out the Form SS-4 but the
easier, preferred way is online.
However, I also found at IRS.gov - Online EIN: Frequently Asked Questions the following relevant tidbit:
Q. Are any entity types excluded from
applying for an EIN over the Internet?
If you were incorporated outside of the United States or the U.S.
territories, you cannot apply for an
EIN online. Please call us at (267)
941-1099 (this is not a toll free
number) between the hours of 6:00 a.m.
to 11:00 p.m. Eastern Time.
So, I suggest you call the IRS and describe your situation: You are a European-based business (sole proprietor?) selling products to a U.S.-based client and would like to request an EIN so you can supply your client with a W-8BEN. The IRS should be able to advise you of the correct course of action.
Disclaimer: I am not a lawyer. Consider seeking professional advice.