Of course there is a concern as to having "Kazzaa", "Grokster", "Morpheus", "Limewire", and any other file gathering programs. Mainly if they are not setup right and the proper files removes and options set, you could accidentally share your personal files throughout the entire web.
One of the other problems is "Ad ware" and "Spyware" in which these nice little internet programs install without users knowing about them. They track and send all you information of what websites and download you get to the great unknown information masters out there and all of the sudden you start getting spammed by numerous companies via the e-mail and pop-ups.
I would suggest download AdAware from www.lavasoft.de and cleaning out your system, thendownloading KazaaLite - which you can find using any search engine such as Google.com - due to the fact that the KazaaLite engine has the spyware and adaware programs removed from them. Grokster also has a few sites out there for removing that spyware.
Lastly, make sure you look at all the options and check the boxes noted for disregard virus type files and porn files...
Good luck in your endeavors.