To expand on what Bitt has said about BitTorrent, it is just a simple application under Windows that associates with .torrent files. The .torrent file you download has information about a tracker server, and some checksum information about the file. Once your computer has this, it connects to the tracker, and from there discovers who else has that particular torrent active. It only shares that file, and stops sharing once you close the dialog it has.

In most cases, it is much faster then normal web site downloads for new game demos and such. I downloaded the Homeworld 2 demo at about 200k via the torrent file, where as the fastest I could get from many of the web servers was 10k.