File sharing is the practice of making files available to other users for download over the Internet. Usually file sharing follows the peer-to-peer (P2P) model, where the files are stored on and served by personal computers of the users. Most people who engage in file sharing are also downloading files that other users share.
There are many downloading programs out there. Most are loaded with spyware, so be careful when choosing what programs to use. A great site for learning about file sharing is Zeropaid. They have tons of useful information about various programs.
I prefer Bittorrent downloading. Once again there are many programs with which to download torrents. Don't bother with any program that requires you to pay to use it. There are plenty of free programs out there. Once you've picked a program, then it's a matter of finding the sites that list torrents. There are some great torrent sites out there and there are some that aren't that great. You just have to look around and decide which sites work for you. There are programs for every need out there. I recommend Shareaza for single file downloads. Shareaza also supports torrent downloads, but it seems to take a lot more resources than my other torrent applications. For connecting directly to a specific person's hard drive I recommend Soulseek. Soulseek can be rather frustrating at times so be sure to read over their forums for tips and tricks to make it work better. For downloading torrents I recommend Bitlord. I've found it to be easier to use than most torrent applications. A lot of people prefer Azureus but I don't really care for it (Of course, I'm stubborn too and don't like to give up what I'm used to).
Now, once you have a torrent client picked out, then you have to find a torrent listing site. Once again, there are hundreds of sites, and you have to find the ones that you prefer.
Here are some torrent sites that I recommend...
There are also torrent search sites such as Torrentz.com.
One thing I'd like to add here, be very careful when downloading from others. Check each file before downloading it, and once it's downloaded be sure to run a virus scan before opening it. You never know when some jerk has put a trojan or virus in a file and you have to be careful to keep such files off your computer. I don't recommend downloading applications from file sharing sites, and, of course, I don't recommend downloading any copyrighted material. File sharing is strictly a use at your own risk type of thing.