It may help if you describe what you are trying to accomplish. I don't follow how [tex]\int {e^{-{u^2}} du = \int\int e^{-{x^2}} e^{-{y^2}} dx dy[/tex]. I think you are trying to say that it is the product of two integrals, [tex]\int {e^{-{u^2}} du = \int e^{-{x^2}} dx \int e^{-{y^2}} dy[/tex]You can't directly integrate [tex]e^{x^2}[/tex]. I believe you can use a Maclaurin series to approximate a value. Look at the Maclaurin series for [tex]e^x[/tex] and substitute x with [tex]x^2[/tex].
Assuming that your x and y are Cartesian, you can substitute their polar alternative. Just like on the unit circle, the x-horizontal axis component of a point is normally associated as the product of the magnitude of the point from the zero origin and the cosine of the angle, namely [tex]r \cos{\Theta}[/tex]. Use this in your integral and you might get something that can be integrated, but without more about the problem, this may not be correct.