Peer-to-Peer (P2P) applications are popular for sharing music and other files across the internet. Most businesses prohibit the use of such programs on the corporate network because of the illegality of exchanging copyrighted material and because of the bandwidth (and employee time) wasted.
It's difficult to block P2P communications using standard firewalls because most P2P applications can use random ports. You can use an application layer filtering firewall for P2P applications that use HTTP headers. Alternatively, you can use a dedicated product such as P2P WatchDog or an appliance such as the Akonix L7 CM5000.
You can stop users from installing P2P applications (and other applications) by using Windows XP/2003's software restriction policies.