I'm looking for one big, synthetic work about colonialism from 15th to 18th century. I need general history, included history of Spain, France, Portugal, Netherlands and England/Great Britain. Do you know any?
The Pursuit of Glory: Europe 1648-1815 (Allen Lane History) is an excellent book on that time period. Europe: A History Norman Davies will give you a good grounding as well and has many references to more in depth books.
Eric Hobsbawm's The Age of Empire: 1875-1914, ISBN 0-521-43773-3 is probably the best reference for this period, I would suggest. Whilst it's part of a trilogy about the long 19th century (The Age of Revolution: Europe 1789-1848 and The Age of Capital: 1848-1875 preceding it and fourth book, The Age of Extremes: The Short Twentieth Century, 1914-1991 completing the set), it's a particularly good set.
But it's relatively weak on the pre-19th century colonialism, as that's not the trilogy's focus. I believe Hugh Thomas's trilogy (1, 2, 3) is meant to be one of the best works on the Spanish Empire. Thomas Pakenham's The Scramble For Africa is one of the definitive works on that set of events.
I'm probably missing something really obvious, but I can't think of a more comprehensive guide to the wider period you're looking at, I'm afraid. I hope this helps nonetheless.
Edit: Doing some reading on Wikipedia, it struck me that this might be a book that would suit you well: Anthony Pagden (2003). Peoples and Empires: A Short History of European Migration, Exploration, and Conquest, from Greece to the Present. Modern Library. ISBN 0-8129-6761-5.
You might want to take a look at A Concise History of the Caribbean or The Caribbean: A History of the Region and Its Peoples.
These do not of course cover Pacific, Africa, East Asia etc.