Basically "roaming" is when you're not able to get (GSM) access to your home network (E-Plus in your case). For most purposes, when you cross a national boarder (France, Denmark, ...) you'll then be considered to be roaming.

Actually, since the EU got heavy with the phone companies over the past few years, the cost of roaming has come down. It's reasonable to expect to pay a fixed fee (say up to 80c) and a low per minute cost (say 15c/min) to receive a call while roaming in another EU country. Outside the EU, expect to get hit hard.

Aidan