Its actually illegal to use (R) in the UK if you dont have a registered trademark. TM indicates that your mark is a trademark, not that it has actually been registered. (R) or the abbreviation RTM indicates a registered trademark.
In the UK, the patent office (
http://www.patent.gov.uk/) deals with it. It costs £200 per application + £50 per additional class of goods or services (if you use a lawyer it can cost around £600).
IIRC, there's a central European method of registering your trademark worldwide so that cuts down on paperwork and cost.