I have an FXCOM account and I find the easiest way to deposit funds is via credit card. You can make the payment in €'s, £'s or $'s and it is credited to your account almost straight away. Historically in checking the exchange rate used it is better than any other medium. The alternatives are wire txfer (costs €25+ and you get the banks selling exchange rate on the day) or send them a draft\cheque but this can take some time to process.
I have never actually asked them to txfer funds from one currency to another, Sharewatch used to do it on request, but then stopped offering that service, so I am not sure if FXCOM will do it. You can always call them or ask via their 24hr internet query service.