First of all, while the average visitor here knows what P2P is, the average person does not. A peer to peer network is a protocol for transferring information between two or more equal sources. That means there isn't a server, and that means that all computer access information from each other. Namely, when you download a song via P2P, you're downloading from a random persons computer. Now this is kinda good, as you can find almost anything you're looking for and is usually faster than traditional server- client networking. It's bad, however, because you're downloading from a random bunch of people, and have no idea who they are. For all you know, they could be crackers (known as Hackers to the random John Doe) baiting you with potential malware.
Here is how that works:
I find out a person i want to obtain information about likes Polka music. So i get myself a file, mask it as .mp3, and embed some pretty nasty scripts in it that retrieve the registry information from all computers that contain the file and send it back to me. Now i put that on a couple of P2P trackers (like BearShare), and wait for that person to hit the file for download. Now, while it doesn't necessarily mean that the person i'm baiting will get it, i am willing to place a 2,000 dollar bet that someone will. And voila. I have access to your computer. Now i can read your emails, send spam messages, commit fraud and steal your passwords and Personal Identification Numbers. And that is not good for anyone except me (and the FBI busting my doors yet again).
There is another bit of information regarding why P2P client programs are bad, and that is because they're annoying. I don't mean they install random toolbars and change your homepage (which they do anyway), i mean they're set to start up as soon as your computer does. That means they're always on, leaving both you exposed to cracker ("hacker" for all you John Does, again) attacks and eating up system resources, slowing down your computer. So if you have one, make sure to both have an updated quality antivirus program (i mean Avast, not Avira) and turn them off manually from the system tray whenever you're done with them, as well as use a startup management program that prevents them from starting at boot-up.
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