Please note that I am not encouraging you to participate in illegal activities, nor do I condone them. All I'm offering is information. If you get into trouble for anything you learned on this site, it is your own fault. If you are too young to be accountable for yourself, then you shouldn't be on the internet. I will hold no responsibility for anyone using this information.
The only foolproof way to not get fined for piracy is to A) abstain from illegal warez and B) not get caught. Don't be stupid. If you're not sure, then don't. Check your country's privacy of evidence laws. In some places, you cannot be charged under evidence that has been obtained by violations of privacy. Less liberal places may allow it. Before you do anything, know where your country stands on privacy protection, piracy fines and copyright laws.
Now, for the guide...
The first and most widely known method of file sharing is Napster-esque programs. These programs connect to a nexus server and display a user's files that are available for download. Examples are: Kazaa, Bearshare, Warezclient, Morpheus and winmx. Since anybody can have any file available for download, any virus or trojan can pose as a legitimate file and cause mischeif to an unsuspecting downloader. These programs have also been notorious for spyware from the program developers. Since they are an installed program, the person who writes the program can get it to peek around and generally have it's way with your computer. From my experience, the only real safe and robust share program which has the best variety of files is Limewire. Almost everything else has spyware or requires that you pay to use it. If you want to go with Limewire, make sure you get it from the official site, limewire.com, because some places put spyware and bugs into the install file. Limewire also hasn't been shut down from the RIAA either.
Almost everybody has been using conventional P2P (peer to peer) programs untill recently. The RIAA has just been given power to shut down these organizations. Even though the organizations might not encourage downloading of illegal warez, the RIAA has been able to bend the rules to shift the legal repercussion of individuals onto the developers of the technology. Organizations who distribute sharing programs have been sent cease and dessist letters. Some have stood in defiance and some, like Winmx, have shut down operations for fear of a lawsuit. Limewire is one of the defiant entities. I believe they will ride it until the end. Even though the RIAA doesn't have any constitutional rights on it's side, I think it is inevitable that the RIAA will finally get what they want. Don't be too depressed, though. There is a new way. That way is bittorrent.
The technically pragmatic types have all switched to bittorrent. The difference is that, unlike limewire and winmx, you don't need to connect to a master server which tracks everybody. For limewire, a hub server must be in place, which makes it an easy target for the RIAA and other copyright racketeers. Bittorrent is a clever way around vunerable nexus servers. All users have to do is download a bittorrent file of the movie/game that they want. (You can find them on thepiratebay.org or torrentspy.com.) These files are just a list of IP adresses of people who have the movie/game on their computer. The bittorrent client will create a network from the list of IP adresses in that bittorrent file. Once the network is established, the client can begin downloading directly from the other clients, without routing through a central server. And, in spite of how complex the technology sounds, the process is actually very simple to use.
All you need to do is download a bittorrent client (like azureus [http://azureus.sourceforge.net/]) and install it. Then, double click any bittorrent file as if it were an executable (or choose "open" instead of "save" when you download it from the torrent site). The bittorrent client will automatically open and start downloading. That's all there is to it.
Because of bittorrent's popularity, you can find almost anything you want. All those TV episodes that are coming out on DVD? They're all available through bittorrent. Any leaked videos and games will find their way onto thepiratebay.com. Hell, Microsoft's new OS, VISTA, has found it's way onto torrent sites. The same goes for brand new games like half life 2 and quake 4. Search for any game you want. They all have cracked versions on piratebay.org. And for music, bittorrent usually has full albums and band discographies instead of individual songs. Keep in mind that if the bittorent site is credible and pragmatic (such as thepiratebay.org and torrentspy.com), the downloaded files will be free of viruses. Trojans will instantly be discovered because users can give the site feedback on the file. The webmaster can then take down the malicious torrent and another will take it's place.
Also note: if you have a router, make sure the router port "6881" is open. Microsoft's firewall can also slow your download speed. For any other technical issues help, go to the bittorrent client's website.
By the way, you might also want to read the pirate bay's legal section too. It's quite funny: thepiratepay.org/legal