Setting up a bank account in Spain is not too easy for foreigners.

You must first go to the comisaria (main police station) and ask for a "carta de no residente." This is a letter from the Spanish government stating that you are not a resident. Here in Madrid, you fill out the paperwork at the station on General Pardinas and then wait 10 days to go pick up the "carta de no residente". You then take that to the bank and you can open a non-resident account.