We're not here to cast judgement on the file sharing issue. I'm sure this guy knows the risks involved .... and it sounds like he's willing to take them.
SO
If you feel you really must share your files, thats fine. However, Kazaa is NOT the program you really should be using. In fact, its a good chance its contributing significantly to your problems. Kazaa from Sharman Networks is loaded with spyware. It states it right in the ULA that no one reads when you install the software. You'd be smart to uninstall your Kazaa. Don't forget to run KazaaBgone afterwards to remove the junk its left behind. Kazaa Lite Resurection is even worse in many instances .... its been loaded with a back door trojan. Don't get too upset over the loss of Kazaa though .... the network is loaded with viruses and bogus files.
DC++/Direct Connect
If you can connect to the hub but you can't download, then you're not configured right. You can either set yourself to be in passive mode which would limit you to downloading from only active users. Or you can open the router ports to allow you to be "active." There's enough information on the internet on how to do this .... what ports to open, etc. You should have no problems figuring it out with a little time and effort.
Emule
Once again, your router is blocking the port. You can still download on a "low id" connection, however you will only be able to download from users with a "high id."
Ok, so now you've spent enough time learning about your router and how to forward ports .... lets say you're still not having any luck downloading your "precious" files. IF you haven't uninstalled Kazaa and run KazaaBgon .... do it. Also update and run a full virus scan just to make sure you're ok. While you're scanning, download spybot S&D (update it) and make sure you're totally clean from non virus forms of malware. It also wouldn't hurt to download winsockFix and give it a whirl too. All these scans have a better chance of fixing problems if you run them from within safe-mode. Good luck, and may the RRIA and MPA not find you.