Your first step is to get some money saved up, in some [legal] way or another. Are you working a job right now? If not, write up a resume and start pounding the pavement. Either way, save up every single penny you get, when you've got around 3-4K or more saved up, pick a place you want to go, do the research on how to get there and how to afford living there, pack your stuff and go. Make sure it doesn't kill your entire savings just to get there, though!! You'll want some money left over just in case things don't go as planned (can't get a job, unexpected expenses, etc.) Theoretically you ~could~ just up and go, but it'll be a LOT harder and more dangerous without any money saved up.
Also a word of warning, in any situation living with strangers, be sure to meet the people before agreeing to anything. Living with people whose personality/living style you're not compatible with will lead to frustration and/or misery.
P.S. If you live in the USA and decide to nix the plans for France, check Craigslist for apartment prices in various cities.