I know this one. It will help if you know the file size, roughly, and the format of the file you were trying to download. If you look in the “My shared folder” folder, you will see a (or many) file(s) called kazaa8293452983475.dat (or some such gibberish ending in .dat). If you do not see any, search your drive for files named “kazaa*.dat”. Match up the .dat file(s)'s size with the approximate size of the file in question. Rename the extension to .mp3 (or whichever one is in question). This should work fairly well and at least let you listen to it.
As usual, I claim no responsibility if you or anyone else bungs this up and royally kills your/their PC.