[King of Snake]

I use Azureus. Basically you download a torrent file (small file) and open this into your torrent client. It will then start downloading the actual files referenced by the torrent onto your harddrive (into whatever download folder you've set up) from other users who have that torrent loaded.
When searching for the torrent file, take a look at the amount of seeders (S) and leechers (L) for that torrent. Seeders are people who have this torrent active in their torrent client and have the complete file. Leechers are those who are still downloading the file. The more people who have the torrent active, especially seeders, the more chance you'll get a quick download. It's is expected that you keep the torrent active in your client even after you've downloaded the whole file, until you've uploaded at least as much of it to other people as you've downloaded. This is your share ratio. A ratio of 1 means you've uploaded the same amount of data as you've downloaded. Less than 1 means you've downloaded more than you've uploaded.

If you're behind a router or firewall you may have to open some ports in order for it to work properly. You'd have to consult the manual of the router to find out how exactly.