I don't use KaZaA or any other such p2p app unless I have a firewall running, and an uptodate anti-virus. I know it's not much, but it's the most I can do, and I wouldn't suggest anyone do without it. Most of the stuff IS filled with spyware and virii. More than once have I encountered a virus, or a trojan. Luckily the antivirus picked it up before it could do any harm. Also, by running a personal firewall, atleast you'll be able to monitor outgoing traffic too.

As for your problem, like gghornet said, give us your specs. Also, when this happens try checking your Task Manager to see which process is being a hog. Ofcourse, this is only possible if you're using 2000 or XP. Win98 and ME don't have the option of checking the processes. They only list running applications.