its only as slow as your internet can download, normally its a fast as my connection goes.
recieving it from your friend would more than likely take longer, but yes u can change it to eu realms ALTHOUGH you'll recieve the US message on the login screen, not the EU one.
You will need to change the realmlist only, no other changes are needed to play on EU realms with US client.
Only you calendar will show in US mode (week starting on Sunday, kinda annoying tho ;p)