In reply to BrianT:
I'll second bittorrent. Its a program, like Kazaa, but better. Not so many viruses and fake files on it.
Use the azureus client though, much better. Here's the source:
http://azureus.sourceforge.net/
Then you need to download 'torrent' files for it, which connect you to everyone else. Best source is suprnova:
http://www.suprnova.org/
Site's playing up today though. Here's anyone one:
http://www.filesoup.com/index.php
And if you like your footie:
h**p://footballtorrents.com:6969/index.html
Take the stars out of that address, the site won't let me post with them in.
An alternative to bittorrent is soulseek. Search google for it, I don't use it much but people tell me it's good.