I used to buy stocks through a regular broker, but then switched to alternative platforms and mutual funds - it's simpler paperwork-wise.
If you specifically want foreign company stocks, there are still depositary receipts, some brokers work through foreign accounts, or you can look into investment funds that hold a portfolio of overseas stocks - the managers there handle all the regulation stuff themselves.
As for risks - it all depends on your investment timeline and how much of your portfolio you're willing to set aside for experimenting. You should definitely diversify with domestic stuff too, but foreign companies are really the whole point.