Okay, first of all it's true that Kazaa puts some nasty stuff on your computer. However, there is a version of Kazaa which has all this removed, and it's called Kazaa Lite. It can be downloaded from
http://kazaa-lite.tk
I bet you can buy yugioh anyway, so I'd suggest checking out some place like
http://www.animeniacs.com or another site that sells anime.
Interestingly having just come back from a convention I discovered that if you download unlicensed fansubs(ie anime that is not released in your country yet), it is in fact legal, so long as you get rid of the fansub once the official licensed release comes out where you are.