Yup to all. Using kazaa opens up a file on your computer to all and sundry. I reckon that having kazaa is the easiest way to get a trojan or virus onto a computer. If someone was to use Back Orifice from Cult of the Dead Cow it could be placed on your computer with ease and your AV and firewall will never even wake up.
Do a search for Kazaa on this site andyou will find many people who have had all sorts of problems. Of course this is apart from the fact that d/ling copyright music is illegal ;-)).