If you were adopted to the United States and subsequently became an American citizen, you have an immigration file, and have a right to a copy of that file. I assume there are similar procedures to follow in Europe and elsewhere, but unfortunately my knowledge of the law is limited to the US.
Go online to the Department of Homeland Security, U.S. Citizenship and Immigration Services. You want to download the G-639 form, which is available at www.uscis.gov.
This form is for a federal Freedom of Information Act request. It's a tool used primarily by journalists, but is available to all citizens. As you fill out the form, be sure to check the box for "all of my records" to ensure that you get everything in your file.
If you have naturalization documents, visas or other resources that might include information to help locate your file, include photocopies.
Once the form is complete, you'll need to go sign it in the presence of a notary public to have your signature officially notarized (FYI: many chain copy stores offer this service).
You can ask for your request to be expedited, but chances are, you'll probably have to wait at least a year - you have to prove that someone's life is at stake to get your documents quickly. (Our request for speedy processing was rejected.)
Send the completed form to:
U.S. Citizenship and Immigration Services
Department of Homeland Security
National Record Center
P.O. Box 648010
Lee's Summit, Missouri 64064-8010
I called the office several times to check on the status of my request and always found the staff to be very polite and helpful. Although fees for copying are sometimes charged for particularly large amounts of information, Jimmy's records were photocopied and mailed to us at no cost.