You can download malware or viruses on a P2P network like BitTorrent or eMule. I personally avoid downloading anything that looks like bootleg software, patches or installation CDs. If you can't download it legitimately from www.filehippo.com or from the manufacturer's web site, it's probably not worth using anyway. Most software I buy or test has a free trail period. The only exception I can think of is SpinRite, which has a no-questions-asked money back guarantee. There is also enough Open Source software out there that you can usually find something close to what you need anyway. So software on P2P is a security and quality risk: it's just not worth it, no matter how tempting it may be.
Many people use P2P networks to find music and movies. Again, you have no idea what kind of quality you are getting, and the bandwidth costs can be a factor. Downloading a compressed bootleg DVD can use up anything upwards of 700MB. Since I'm paying R99 per GB and I can rent most DVDs for R25, it just don't see the point. Also, many movie formats can include scripting and other security nasties, so you are taking your PCs health in your hands.
Music is less risky, and the music industry is finally beginning to understand that the sky won't fall in if they sell MP3 files or just give them away. I don't like stealing from the "artists" (actually its the record companies that are robbing them blind) but if I already own the record or cassette tape them I have no qualms about obtaining a digital copy of those songs, especially if they aren't available as an MP3 download.
Again, there are economics involved. If the size of the book is greater than 1GB then its cheaper to buy a legal copy than download a bootleg one. I always try to find a legal copy anyway, because I'm not a leecher and am happy to pay for my hobby. Audible, Borders Audiobooks, Simply Audiobooks and AudioBooksForFree have all sold me books. The last 3 have sold more because they allow me to download MP3 files more often than not.
There are also legal stupidities involved. Diana Gabaldon's "Outlander" series now has 7 titles. You can buy books 1-4 and 7 in unabridged form, but I couldn't find books 5 and 6 for sale unabridged at all. Not even the CDs. But some kind soul on BitTorrent allowed me to download both. If I could pay for these copies I would prefer to. When the lawyers and the publishers decide not to boycott their customers, maybe I'll be able to.
For that you need PeerBlock, another free program. It monitors your P2P connections and makes sure you don't connect to any know bad IP addresses. You can get it to block HTTP traffic too, but it also stopped my NOD32 updates from downloading. This wasn't intentional, and I could fix it by using a different download server. Just weird.
eMule also has an IP blocking facility, but the standard ipfilter.dat file is only updated once a month or so, and doesn't stop the spam and fake files. You can update it more often using BlockList Manager, but it's a bit tricky to set up. It was originally designed to work with PeerGuardian, but PeerGuardian has been superseded by PeerBlock, which works well. I use both BlockList Manager and PeerBlock, to be sure, to be sure (Irish joke).
Their servers are in the Netherlands, so your PC appears to be operating from there. It's weird because when you do a Google search your default Google server is www.google.nl and the buttons are in Dutch. You can set your Google preferences to English quickly enough.
Don't confuse a VPN with a Proxy service. Proxies don't work the same way, and your ISP can still interfere with your traffic. A VPN effectively "relocates" your PC to another country. Its weird, but it works. The connection is a little slower than normal, but at least there is a connection.
Update 20 Sept 2011: I found a really reliable VPN service called SwissVPN that has been a great help. It can use the normal VPN software that comes with Windows, or you can use their OpenVPN client. Fortunately my ISP is being more reasonable with my traffic at present.