I have never redeemed FF miles and want to go to Europe. I have over 200,000 miles on a Capital One card. Can someone lead me in the right direction? Thanks in advance!

For Capital One, you have "points", not miles. The good news is that Cap One points are extremely easy to redeem for air travel. The bad news is that the redemption value is a lot lower than comparable airline FF programs. For example, 200,000 Delta Skymiles + taxes = two roundtrip business-class award tickets from USA-to-Europe at the "low" redemption cost. However, these "low" awards are EXTREMELY difficult to find. It works best if you don't have any travel date, destination, and airline partner preference.
When I book for myself, I actually mean, I don't care when, where, AND with whom I fly. If you are that open, then Delta SkyMiles works fine.

For 200,000 Cap One points, you can redeem for $2,000 in airline tickets, which should be enough for a pair of deeply discounted coach seats. One point = one cent in redemption value. If the ticket can be purchased for cash thru the regular channels, then you can use your Cap One points to buy it. There are no extra taxes or fees involved.

This is how you redeem: Get online access to your Cap One credit card account. You might have to call Cap One to get this set-up. Once you have on-line access, beside viewing your credit card statements, you will see a link to awards redemption. Follow that and read up. On the awards page, there is a direct link to an online air travel booking service. Enter your flight info, pick which flights you want, and you will be presented with an option to pay with money or pay with points. Pick points, one click, and you are done!
You can also do with over the phone with Cap One's travel booker, but that involves a booking fee, perhaps.