It's pretty safe. It doesn't "share" anything but pieces of the file you are currently downloading. So, when you download that 700MB file, you get random pieces from lots of people, and lots of people get random pieces from you. The pieces that nobody has come from the site that's hosting the download. That means NO MATTER WHAT, you will definitely get the whole file eventually. Something many file sharing solutions don't guarantee.
It's almost always a *LOT* faster than a straight download, and it's resumable. Unlike Mozilla's download and IE's download, it doesn't download it to a TEMP file somewhere and then copy it to the destination when it's done.
If you are *NICE*, you'll leave it up after you finish the download to speed up a few other people's downloads. Otherwise, when you quit, it's really gone, nothing is running, and it never offers to "share" that file from your computer again... unless you run it again and start it "downloading" the same file again for whatever reason.
It is open source. If you like, you can download the source code and 'cripple' your version NOT to share. It really only hurts you, as part of the sharing hand-shaking logic is actually finding out about more parts on other machines. At the very least review it for yourself and build it for yourself, if you don't trust it.