The torrent client you're using makes a big difference. Personally, I use Vuze beta, powered by Azureus, because it's the fastest one I know. If you're having trouble downloading, it probably means your connected to the wrong port. I had an NAT error for a while after I got azureus, and had to change the port.
Everything related to that is explained in detail here:
http://www.azureuswiki.com/index.php/Main_Page
This may be of some use to you as well:
http://www.animetique.com/download.asp
This is the best place for getting torrents, but you can also try mininova, boxtorrentz (cookies must be enabled), Anime Yume, or Baka Updates:
http://www.tokyotosho.com/index.php
Remember, if it was ever out on the internet, there's still a way to get it.
Basically, the best thing you can do to get yourself aquainted with your new client is to click around on it until you figure out how exactly it works. Torrents take more or less time dependingon how healthy the torrent is. If you have 2 seeders and 700 leechers, it is going to take a very long time, if not infinity. Just find the heathiest torrent you can, and wait for it. It sometimes helps to make things go faster if you torrent around 3 to 4 things at once, but too many will slow it down again.
To not get caught…
1. Don't torrent licensed shows
2. Don't seed shows once you're done torrenting. Especially for extended periods of time.
I think if you're caught you have to pay a hefty fine. That's all I've heard of, but, like Gorlom said, it depends on where you live.
I think downloading via IRC is best for manga, in case you want that too.
And I don't know about XP vs. Vista. I have XP.
Hope this helps, torrrenting can be a beast when you first start out. :)