Yes, Kazaa is legal. Downloading copyright material is not. Most music will be copyright although there are a few songs that can be downloaded for free but these are usually on a website. The BBC do allow some downloadig for listening/watching later.
It is unlikely that men in dark suits will come round to give you a good going over and shoeing if you download a few songs by *ahem* mistake; they are more interested in the people that download industrial quantities.
However as CDs are around £9.99 there seems to be no argument in buying one as the songs each work out at the price of a third of a pint of beer.
As a caveat, there are loads of viruses on Kazaa and others and you have an open port that you have given permission for anyhting to enter. A firewall will be of no use and an AV will only be a bit better.