Hi... I am a landed immigrant in Canada. In May 5,2009 I would have to apply for citizenship. In June this yr I should leave Canada going back to my country, in Europe. However, I still want the citizenship even though I don't plan to comeback in Canada. Does anyone knows if I can still get it? And what would I have to do? Would I have to comeback here in Canada for the interview or I can do everything from my country?

No, you can't obtain citizenship while living in other country.

I believe you have to take the citizenship test and citizenship ceremony while still in Canada. If you have lived in Canada for 1095 days in the past 4 years then you can take the test.
http://www.cic.gc.ca/english/citizenship/become-eligibility.asp