Spyware is something that sends data about your computer, your preferences, what you look for when you use the program, etc...
Depending on the software, it can consume a lot of uplink bandwidth and most people very much appreciate privacy, so if you are one of them, try to stay away from those programs.
In some programs, you can reject the use of this "included" spyware, as in Roger Wilco, but in Kazaa you have no saying in this.
Daniel, aka Cyrano