A search of Worldcat (library holdings) shows the record below. Seems that 4 libraries in the US own this. At least you have something to search for if you look at ebay, etc. I copied this info from the Worldcat record.
Rick Steves' Europe. 16 classic shows 1995-1999
Author: Rick Steves
Publisher: Edmonds, WA : Back Door Productions, ©1995-2005.
Edition/Format: DVD video : English
Rick Steves is North America's travel expert and this DVD collects his classic shows that deal with travelling in Europe. This 2-disk DVD set includes Rick's 16 favourite shows from his original TV series, first broadcast from 1995 to 1999.
2 DVDs: Title from container: Originally broadcast on public television as Travels in Europe with Rick Steves.
"These 16 shows do not appear in Rick's 7-disc All 43 shows 2000-2005 DVD set"--Container.
 From the north: Alps of France and Switzerland. Alps of Austria and Italy. France's Alsace. Great side trips from London. Northwest England. Copenhagen and Ære. Stockholm and Helsinki. Oslo, Bergen, and the Fjords --
 To the south: Spain's Costa del Sol. Athens and the Peloponnese. Greek Islands. West Turkey. Central Turkey. Istanbul. Egypt. Israel.
Edit to add: it appears there really are some copies on ebay...