Radiation will kill you on the surface
Several other posts hit the same point, but to summarize briefly, Europa's surface receives 540 rem per day, which is probably a fatal dose. However, the 1080 rem you get in two days is definitely a fatal dose. You need shielding, water (and ice) are great shielding, there you go.
Water pressure is too high in the ocean
Let me make a few super-general assumptions to simplify the math. First lets assume atmospheric pressure of zero, lets assume that the ice crust is pure water ice (density: 0.9167 g/cm$^2$), and lets assume the equation for hydrostatic pressure ($P=\rho gh$) can be naively applied under an ice sheet, an assumption that I argue is good enough. Other numbers we'll use are the surface gravity on Europa (1.315 m/s$^2$), 20km depth of surface ice on Europa (estimates range between 10-30km)
$$P=\rho gh,$$ $$P = \left(\frac{0.9167 g}{cm^3}\right)\left( \frac{1 kg}{1000 g}\right)\left(\frac{1000000 cm^3}{1 m^3}\right)\left(\frac{1.315m}{s^2}\right)\left(20000m\right)$$ $$P=24.1 MPa = 237 Atm$$
That is equivalent to about 2500m below the ocean on earth. Building habitats with the strength of a submarine wouldn't be hard, but they are rated to about 500m tops. Building a habitat to handle that pressure would be hard.
Inside the ice is just right
On the other hand, you can find a happy medium in the middle. The 1MeV gamma tenth-thickness of water is about 0.6m. The tenth-thickness is the distance of material needed to attenuate radiation by a factor of 10. I couldn't find the tenth-thickness of ice, so I will assume it is the same (possibly a horrible assumption). Therefore, under 85m of ice, the radiation from Jupiter is about $$540 rem \cdot 10^\left(-\frac{85m}{0.6m}\right) \approx 0. $$
At this depth the pressure is $$P = \left(\frac{0.9167g}{cm^3}\right)\left(1.315 \frac{m}{s^2}\right)\left(85m\right) = 102.5kPa = 1.01 atm.$$
No radiation and atmospheric pressure. Sounds about right to me! Of course, this is not to say that there is atmospheric pressure in the air of a habitat, just because we are 85m below the surface of the ice; since ice is solid it doesn't work like that. But structures built at this depth won't have any pressure related problems that they don't already have on earth...unless the ice is moving.
What building materials are available at 85m below the surface of Europa?
Well....ice. Everything else you are going to have to bring yourself. The rocky surface is below another 20km of ice and maybe 100km of ocean. Pretty technically challenging to get something from there.
However, Jupiter is just surrounded by moonlets and rings and what have you. It you want metal, just mine it out of loose material in the Jovian system and bring it down to the surface.