Yes,

Kazaa places peer info in a registry key. This means that anything you try with a firewall will ultimately fail in blocking the traffic. The *only* way that I have been able to block this traffic has been with Websensehttp://www.websense.com. The problem here is that Websense costs a few bucks and requires at least two beefy servers.

Other than that, restricting installation of software on the workstation would be your last resort.