"Kazaa Gold" is Windows software, so it won't run under Linux. It might run under Wine, but there are no guarantees.
But just for the record, "Kazaa Gold" is a scam that charges you money for software that is/was available for free. They didn't write the software (it is an old version of Kazaa Pro), and you don't get legal rights to download any copywrited music with it. The "paid subscription" they offer gives you absolutely nothing.