If you are a US resident you should watch out downloading and sharing copyrighted songs. Especially since this week. Because RIAA has started a large campaign against private users that share copyrighted material.
RIAA is allowed to scan your harddisk through the internet and wont hesitate to give high fines ($150,000 per song)
http://www.riaa.com/news/newsletter/062503.asp
Ofcourse you can prevent them on scanning you harddisk. And its hard to stop a few million users.
But according to figures from Nielsen/NetRatings, the RIAA already succeeded in a decrease of 15% of the Kazaa-users.