To use Kazaa, you'll have to allow it access to your computer, bypassing your firewall. You may think you're downloading a music file but it 'could' be anything - including a nasty virus or trojan that'll make you wish that you had never heard of Kazaa. You'll find more than enough Kazaa threads on this site to give you the info you need.
Just don't download software, or anything with .exe at the end. They are more likely to be viruses. Run AVG after every download, just in case. Whatever yo do, don't download KaZaA (instead of KaZaA Lite). It has a hell of alot of spyware and adware. For Audio and Video, you should be fine.
Antivirus protection.Download and install it because you need it anyway. You also need Sygate [or another] firewall plus Adaware and Spybot for spyware-they all need regular updating. These can be found in PCA downloads or via Google. Regrettably my descendants used Kazaalite and were OK but they had the sense to test each file for viruses before they played it. Now they've all gone wild over DVD music discs so this episode appears to be over.