According to an article in the Telegraph online, this warning is based on four incidents that recently took place in Southern France, Monaco, and Portugal:
1) In June 2007, shoppers at a Monaco hypermarket (a large store like Walmart) scuttled and then reported to the police, the attempted kidnapping of a four year old girl.
The would-be kidnapper hastily attempted to cut off the young girl's hair. She cried and fled, creating a scene that caused shoppers to come to her rescue.
Once shoppers had prevented the kidnapping, the would-be kidnapper fled in "a car with foreign tags."
2) The arrest in May 2007, of two Romanian couples for the attempted sale of a two month old infant...in the parking lot of a hypermarket near Angouleme, north of Bordeaux.
The child was reportedly being offered to passersby "for anything between 10,000 to 15,000 euros."
"How much do you offer?" a male member of the gang is said to have shouted at shoppers as he held the crying baby aloft...Once again, shoppers scuttled the criminal activity when they alerted authorities. Guards successfully detained the accused--who attempted to fight their way free with weapons that included a baseball bat--until police arrived.
3) The May 2007, arrest of a woman and eight accomplices for trying to sell (what was presumed to be) the woman's four-month-old infant in the parking lot of a supermarket in Portugal.
4) The internationally high-profile abduction of Madeleine McCann from her family's vacation apartment in Praia da Luz, Portugal in May 2007.
The Portuguese media reported that the PJ [Portuguese police] are pursuing two lines of investigation [for Madeleine's abduction]: an abduction by an international paedophilia network or an abduction by an illegal adoption network.
--from the Wikipedia article, The Disappearance of Madeleine McCann
Babies for Sale at Car Park "Gang Auctions," Telegraph.co.uk, June 23, 2007