Overview
Set up at least one zone: a name, the country codes (ISO, separated by commas, such as “FR,BE,LU”) and a rate for each weight class (Light, Standard and Heavy). The weight class of a product is set on its own page in Products › Merch.
The rate applied to an order is the one of the heaviest item in the cart: never added up item by item, a single grouped shipment.
A country that is in no zone is simply not offered in the shipping form of the cart, so sales there are blocked without any other setting.