This was no joke. Unlike some of Europe's other lesser states (Monaco and San Marino spring to mind) this little country was not merely a pimple on another country's nose. It was geographically extensive, filling up 2,500 square kilometres of pleasant green fields, woods, hills and valleys. As a fully-fledged member of the European Union in its own right, it not only produced the President of the European Commission, Jacques Santer, but was also the country where the Schengen agreement, to abolish Europe's internal frontiers, was signed -in a village called Schengen.
What was more, it occupied that crucial grey area where France turned into Germany and vice versa. I found this a fascinating concept. What would such a country be like? Sexy - or efficient? Might it in some sense embody the pure, undiluted essence of Europe?
Insight into the great issue of our day - Europe - was at stake. And by walking the 50 or so kilometres that separated the Latin world in the west to the German world in the east, I was determined to get to the heart of our continent.
And having travelled courtesy of Eurostar and Belgian railways as far as the last Belgian town, Arlon, I was now walking, alone, towards the border with Luxembourg.
Oh Belgium! The station area of Arlon had been a handsomely ruinous mix, with pollutant motor-bikes coming and going, grey stone buildings with peeling shutters looming over the road; taxi drivers, fags in mouths, waited by vehicles outside the Cafe du Sport.
It had been the last bastion of the Latin world and I was walking out of it. The road to the border ran straight into a cool forest. Passing cars displayed not just the grimy red and white Belgian number plates, but also the spanking new black-on-yellow plates of Luxembourg.
Any traces of an actual frontier would be quite invisible of course. The country which gave birth to the Schengen agreement would have dismantled its own borders years ago. Would it not?
Except that just now, emerging from the trees, I suddenly came on a border post, comprising two officers in a hut. Not to worry. Overlooked by lime trees in the warm evening air, it was hardly the Berlin Wall. I ambled past, unnoticed, while a cluster of men in colourful shorts and golfing shoes chatted in the road.
The first 500 yards of Luxembourg were all about golf in fact. An immaculate course disappeared away between the trees. Luxembourgeois, Belgian, French and German cars were amicably parked together. Otherwise, the village of Gaichel discreetly sheltered a petrol station and a couple of hotels.
Hungry after my day of travelling, I looked forward to a hearty Luxembourgeois dinner combining French quality with German quantity. It was not to be. The cheapest set menu in the village's only restaurant cost pounds 40. Starving hungry but nothing to eat except Magret de Canard au Vin de Miel? This was a kind of Euro-torture, designed to taunt poor people from the outer peripheries of the Union.
I set off like a vagabond in search of food. In the next village was a gloomy bar serving omelette and chips for a bargain pounds 8. An old couple eyed me suspiciously from behind their beers. "Er ... guten abend?" I proffered hopefully. "Bon soir?"
Germans or Latins? The woman promptly began speaking French in a German accent. "Oh la la," she puffed, stiffly, at the notion that I was walking across her country in a weekend. I told her how interestingly European everything was. The woman scratched her head, while the Portuguese barmaid interrupted: "Oh it's just the same!" she said, gaily. "People are all the same everywhere!"
On the face of it, the native language of Luxembourg, Letzebuergesch, which replaced French as the official language in 1984, was the authentic Eurospeak. The next morning however, as I set off through dewy meadows of cowparsley and poppies, I found no evidence of Letzebuergesch at all.
In villages, everything was in French. As well as the local boulangeries and charcuteries, the streets had names like Rue de Bellevue and Rue De L'cole. The only exceptions were the numerous war memorials which were engraved in German, presumably to make sure the right people could read them.
Villages comprised immaculately painted, barn-sized structures with lawns and lupins, designed to put any Belgian village to shame. Farmhouses ranged from the faintly rustic - chickens pecking in the yard, a man in blue overalls - to the terrifyingly modern. Heaps of logs were stacked with fanatic neatness in garages, with metal signs announcing "Surveille par Securicor" perched on top. Fruit orchards had been carefully fenced off in an un-Latin sort of way.
After some hours, at a tiny junction by a cornfield, a sign indicated that it was 8km to Luxembourg City. Of suburban outcroppings were there no sign, just a few very expensive cars behaving politely to each other. In a village-shop I asked for bread and cheese and was given a plastic tub with a kind of cold Swiss Fondue inside. Was Luxembourg falling on the wrong side of the Franco-German culinary divide as well?
I finally staggered into the confines of Luxembourg city around 5pm. Latin or otherwise, it struck me as the most blessed capital in Europe - containing less than 100,000 people. Within minutes of arrival I had seen a small building down a back-street with a sign announcing that it was the Chamber of Deputies. Next door was the Grand Ducal Palace.
It was tempting to interpret the extraordinary green fissure that cuts through the middle of Luxembourg City as the ultimate battle-line between the French and German worlds. On either side of the line there was little sign of life. It felt empty, even in the central square. Even on a Saturday night. My God, even in bloody McDonald's. Given that the city contained 220 banks, surely there had to be people somewhere?
Perhaps they were up in the north-east of town, where a huge swathe of cityscape - out on the Kirchberg Plateau - had been built to house European institutions. The Court of European Justice was there. And in June and October, the Council of Ministers briefly decamped from Brussels to Luxembourg for no reason other than to satisfy ancient protocols.
On Sunday morning, unenlightened, I set out to walk the 20 or so kilometres to Germany. Finally, in a hilly village just short of the border, an old man with a wheelbarrow mumbled something at me that sounded like "Guten Morgen". So! The German sphere!
I seized my chance: Did the man feel more German or French? He paused, thoughtfully, before answering in German with a French accent. "I'm not sure," he concluded. "But no matter. We believe in the European majority..."
This was awesomely reasonable for a country of 400,000 people whose direct neighbours contained upwards of 130 million.
"...but what a pity," he went on sadly, "that you British drive on the left. It means you are not real Europeans."
No? I plodded on. And at the village of Wormeldange I finally stepped out across the road-bridge into the Federal Republic of Germany. There was no passport control here; not even a sign saying "Welcome to Germany". I walked into the first bar, and paid for a hearty brotwurst with Belgian Francs. If the European Union was this civilised, I wanted to live in it forever.
A return train ticket from London Waterloo to any Belgian station, via Brussels, can be obtained from Eurostar (0345 303030) for an additional pounds 10 on top of the standard excursion price of pounds 99 (until 14 July, mid- week fares start from pounds 69). Travel time from London to the Luxembourg border is about seven hours. British Rail International (0171 834 2345) can supply tickets right through to Luxembourg City. If driving, Luxembourg is only 200 miles from Ostend.
Flying to Luxembourg: Luxair (0181 7454254) flies twice daily from Heathrow and Stansted. Cheapest return fare pounds 113+pounds 7 tax
Expensive in Luxembourg, though in the station area rooms can be found for about pounds 30. The Youth Hostel on Rue de Fort Olisy, 2 (Tel: 00 352 226889) has beds from about pounds 10
Luxembourg Tourist Office (0171 4342800)