Now they're convinced the pain will go away.
'We do have a lot of good European players right now,' Donald said. 'There's no question we're good enough to win a major.'
Paul Lawrie's victory at Carnoustie in 1999 is the only European triumph in 13 years, and that is an embarrassment bearing in mind the team's Ryder Cup successes over the Americans during that stretch.
Americans have won the Open nine times in the past 11 years, with only Lawrie and South Africa's Ernie Els (2002) breaking that streak. To add to the gloom, Lawrie's victory was the last by a European at any of the majors.
'It's frustrating to us, all the Europeans who feel like they should be winning that haven't won,' Donald said. 'I can't really answer why we haven't won a major for a while.
'You would have thought it suited our games, especially the British players who were brought up on this kind of golf course. But it hasn't worked out that way.'
Montgomerie, Padraig Harrington, Thomas Levet, Thomas Bjorn, Sergio Garcia and Ian Woosnam all were close to winning majors during the last five years. Some lost in playoffs, others by one stroke, and Woosnam's title chance went because he was penalized for having too many clubs in his bag.
Still looking for his first major, Montgomerie has been a runner-up five times, including last year's Open behind Tiger Woods at St. Andrew's and a tie for second behind surprise Australian winner Geoff Ogilvy at last month's U.S. Open at Winged Foot.
'To think that no European has won a major since 1999 is something that we're not very proud of here in Europe,' Montgomerie said. 'We'd like to change that as soon as possible.
'Why, I don't know. Lee Westwood was the only Englishman in the top 100 four or five years ago. Now there's got to be 20 Englishmen in the top 200.
'If we (Europeans) win one, we might win four or five in a row.'
Monty is probably the leading British challenger, although Donald, Howell, Darren Clarke, Paul Casey and Ian Poulter are also among the homegrown contenders.
Harrington is the leading Irish hope and Garcia, although his season has been patchy, produced four consistent rounds to finish in a tie for ninth at last week's Scottish Open.
That was won by Sweden's Johan Edfors, who captured his third title in four months to give himself a chance at a place on Europe's Ryder Cup team.
Casey isn't so convinced that the British Open favors European players.
'I'm not actually sure what favors a European player any more. We play all over the world now, so guys are used to playing in any type of condition, any type of golf course,' he said.
'I think the only think that increases the odds is the fact that we have got a lot of good young players and the old guys haven't really gone anywhere either.'
Winner of the Johnnie Walker Championship at Gleneagles a month ago, Casey has returned to form at the right time after only three top-10 finishes during 2005. He now feels that he and several more Europeans are among the leading contenders here.
'They may have a few majors left in them, like the Montys and the Harringtons,' Casey said.
'Obviously, David (Howell) and Luke (Donald) would be my two picks from the younger guys. They've played some spectacular golf, better golf than I have over the past few years.
'And I think it's only a matter of time, with a bit of luck.'
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