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The authors consider immersions \\(\\phi:\\Sigma\\to E^m\\) of a \\(2\\)-dimensional closed domain manifold into the Euclidean \\(m\\)-space of dimension \\(m\\geq 3\\) that are critical for the energy functional \\(W(\\Phi)=\\int_\\Sigma|H|^2dA\\), where \\(H\\) denotes the mean curvature vector field and \\(dA\\) the induced area element of \\(\\phi\\).  To this end the authors study the sequences of Willmore immersions. Assuming that the corresponding sequence of induced conformal structures on the domain surface stays in a compact subdomain of the moduli space, they identify three regions in the domain surface so that, after possibly passing to a subsequence, convergence can be controlled: the ``main'' region, where strong convergence holds; one of concentrating parametrization of non-trivial Willmore spheres; and the ``bubble and neck regions'' connecting the two former ones, where the energy is shown to vanish.  As a consequence the authors derive strong compactness in the \\(C^l\\)-topology, \\(l\\in{\\mathbb N}\\), of the space of Willmore immersions below a suitable energy level. This generalizes results for Willmore tori, \\(\\Sigma=T^2\\), in dimensions \\(m=3\\) by \\textit{E. Kuwert} and \\textit{R. Sch\u00e4tzle} [Ann. Math. (2) 160, No. 1, 315--357 (2004; Zbl 1078.53007)] and \\(m=4\\) by the second author [Invent. 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