Welcome to LJR! (if anybody hasn't already told you).
I use GTK-Gnutella, and Limewire for file sharing. They both use the Gnutella network, but AFAIK it's nothing compared to the network that Kazaa uses.
I can play .wav and .mp3 files fine through Opera. If you're talking about streaming audio, look into installing MPlayer, and the MPlayer plugin for web browsers.
File sharing is fine, just make sure you only share the directories that contain music, and not your whole HDD. :