Well I will assume that you are only interested in sharing music, movies and software that you are legally entitled to do so. Piracy is not condoned on this board, and asking about such things will get a thread closed.
These days there are two main mays to share files; p2p and bittorrent. The two programs that I use for this are:
P2P: eMule -
http://www.emule-project.net/
BitTorrent: Azureus -
http://azureus.sourceforge.net/
http://en.wikipedia.org/wiki/BitTorrent for more information on how BitTorrent works.