I dont know if its already been mentioned.. but the RIAA is starting to hit individuals and pretty hard... So I wouldnt recommend using anything popular such as KaZaA... theres a list of KaZaA users the RIAA is currently after on
www.techtv.com just search for "RIAA hitlist" and you should find it. I dont think WinMX is too popular.... thats what I use when I need mp3s... I use Direct Connect/Direct Connect ++ for anything else. Ive heard lots of good things about bit torrent, but I havent checked it out yet