If you've got a router, try forwarding the ports for the different P2P applications. Also make sure your firewall is always letting stuff through.

Shareaza is a pretty finicky program, I've noticed. It runs pretty well on my computer, but my friends all have problems with it. If you're getting a lot of problems with it, just try out Limewire. You can't find as obscure stuff with it, but it seems to go faster.