I withdrew some money from MtGox EUR on 15th of January. They sent me an email that money is on the way. The money still has not arrived to my bank account. I also submitted a support request to MtGox on 30th of January, but they have not responded.
What should my next course of action be and how can i get my money out of there?
Your solution is to wait..... and when someday you eventually do get your money, switch to another exchange if you have other options where you live. And warn others not to use gox if they have options to use another exchange instead.
I see a lot of newcomers to bitcoin hearing about gox on the news or reading about it in online media and they have no idea that Gox has serious problems getting people their money and or responding to customer support questions. I've talked to two separate people who no longer have any interest in bitcoin at all because they think gox is an example of bitcoin and they were seriously fed up with the problems they had with gox.
If you don't mind you can share what country you're in and other people can probably provider other options for you.