Should I have received some kind of tax form from my former employer when I sold shares from stock options as they are a French company?

Probably not. You will have to enter the information like this (sorry, I don't know your full situation):

1. Go to federal section
2. to Income and Expenses
3. scroll down to Investment Income
4. Locate Stocks, Mutual Funds, Bonds. Other
5. Click Start
6. Did you sell stocks...., click Yes
7. Did you receive a 1099-B, select No
8. Continue
9. tell us about the sale
10. Enter description, example, French stock
11. Continue
12. the next page asks for:
13. type of investment - probably other
14. how did you receive -
    • purchased or
    • something else. If something else, description - employee stock purchase
15. When did you receive- probably something other that a date, then select various. It may have been a stock grant on a date.
16. Date sold - fill in
17. Proceeds - sales price
18. Cost basis - what you paid plus fees to buy and sell
19. Continue