If its the latest films, music thats not even been released chances are its copyrighted. Just about anything thats going to cost you money in the shops will be copy righted. Freeware, certain shareware should be fine.
As people have already pointed out, Kazaa in itself is legal. However, the material you download with it, and hence any other peer to peer software is the same, is an illegal operation if that material has a copyright.
Any muisc that you hear in the charts, software that you buy in the shops will have a copyright. Probably 99% of material being traded on P2P networks like Kazzaa is illegal.
Though you may find a freeware dictionary for yourself on kazaa so it's not all lost.