Check out this article from ZDNet.
By installing Kazaa you agree to this: "You hereby grant (Brilliant) the right to access and use the unused computing power and storage space on your computer/s and/or Internet access or bandwidth for the aggregation of content and use in distributed computing".

There is software installed in Kazaa that makes it possible to use you both your CPU and your storage space. Probably it's not gonna harm you, but if you don't like it, install Kazaalite at http://www.kazaalite.tk I haven't tried it, but it's supposed to be a stripped down version without the spyware and shyte.