Usually, 'Pending' means that all sources you have for this download are unusable to Shareaza at this time (with exceptions). The following reasons are possible for a source to be unusable:

• The source can't be connected to, probably because that user has shut down his client.
• The source can be connected to, but doesn't have any parts of the file that you don't already have as well.
• The source has parts you could use, but is so busy that it can't even put you in a queue.
• There are too many source connections already (so not necessarily unuseable). If you want Shareaza to make more connections, adjust the settings in Internet > Downloads, but be sure your router will be ok with it.

Shareaza will automatically retry such sources after a while. As you might guess now, having only few sources makes it much more likely to get a 'Pending' status, while it's less likely with many sources. A reason for only having few sources might be that you are firewalled. Any router or firewall (including WinXP built-in firewall) must be configured for Shareaza.

Further informations about this and many other subjects can be obtained from the Shareaza Wiki. (If it doesn't load, try this link.) There are many useful sections there. If you can't find your (past, present or future) problems there, then you can try searching on the Shareaza Forums, which as answers to thousands of questions. (No registration required to read and search.) (Note that the forums are down at the time I write this, but are likely to be up again soon.)

And finally some links from the wiki that you might be interested in:

Make sure all the networks are connected - Connection Guide
Make sure your firewall/router is configured for Shareaza - FAQ: Firewall/Routers
Make the connection test to be sure the port configuration is ok - Test your Firewall/Router
Further tips - Optimize Downloads