nightcat, I don't exactly know what your preferences are. Do you want to share files? If you feel insecure about the incoming traffic, disable it and/or block it. You don't have to share your files in order to download off Shareaza. You could block all incoming traffic for Shareaza if you wanted and set up one of your rulesets to allow an outbound connection to the ports you need for downloading. I believe though, you'll also need an HTTP outbound connection as well.
I believe Shareaza uses ports 6346 - 6349 depending on the version you're running, there could be more (I've heard some newer versions of Shareaza can connect to Edonkey, BitTorrent, and Gnutella 1 & 2 networks). I checked around a little bit and found that Edonkey uses ports 4661 - 4663 and Bit Torrent uses ports 6881 - 6889. I would suggest checking out if your firewall has a forum and check there to see if there are any threads on setting up P2P rulesets. PCFlank has a section on firewall rulesets as well. Bearshare is under P2P, you might be able to use it as a guide to setting up your firewall ruleset for Shareaza (I believe Bearshare uses the same network as Shareaza (Gnutella)). Like I said though, I don't believe you need any incoming rules for Shareaza to work properly.