Alright: this took quite a long time to figure out and so I decided to post my solution here.

I'm running:

RedHat 9.0 (Shrike)
wine-20030709-1rh9winehq.i686.rpm from sourceforge.net
Kazaa Lite K++ 2.4.1 Build 1 (actual version from kazaalite.tk)

In addition you'll need Kazaa Lite 2.1.0, build 3.

Before you start: I had problems with german keyboard layout, cause wine didn't accept it. I've changed it to US english and the problem was solved. So please forgive me some mistzpings
I've done the complete installation stuff as root.
First install wine with wine -ivh wine-20030709-1rh9winehq.i686.rpm
You can check wether it worked or not by typing 'notepad'. You should now have the .wine directory with your system tree /c in it.
Now you will need some DLLs. I've got mine from a Windows 98 installation that was updated with a new Internet Explorer (6.0). I guess that update is really important cause some of the used DLLs will be changed during the update progress. The needed DLLs are:

rasapi32.dll
msvcrt.dll
shdocvw.dll
shdoclc.dll
rpcrt4.dll
oleaut32.dll
ole32.dll
wininet.dll
urlmon.dll
shlwapi.dll
commctrl.dll
comdlg32.dll
comctl32.dll

Copy them to your /c/windows/system directory.
Now you'll have to edit your wine config file. It can be found in /.wine. First I commented out the drives I did not need (floppy,cdrom) and changed the others to fullfill my needs. Then you have to add in the [DllOverrides] section:

"oleaut32" = "native, builtin"
"ole32" = "native, builtin"
"shell" = "builtin, native"
"shell32" = "builtin, native"
"shfolder" = "builtin, native"
"advapi32" = "builtin, native"
"mciavi.drv" = "native, builtin"
"mcianim.drv" = "native, builtin"
"commctrl" = "native, builtin"
"comctl32" = "native, builtin"
"comdlg32" = "builtin, native"
"msvcrt" = "native, builtin"
"shdoclc" = "native, builtin"
"shdocvw" = "native, builtin"
"shlwapi" = "native, builtin"
"urlmon" = "native, builtin"
"wininet" = "native, builtin"
"commdlg" = "builtin, native"
"*" = "builtin, native, so"

All the original lines in this section lines created by the wine installation I commented out. (Though some may be equal). That's it with the config file. Now you can install Kazaa Lite 2.1.0, build 3 (!NOT Kazaa Lite K++ 2.4.1 Build 1!). Just type 'wine klitekpp210b3e.exe'. Now you have a working Kazaa 2.1.0. Start it by typing 'wine kpp.exe KazaaLite.kpp'.

Everything below this point is optional and might not be interesting for you.

In my case I didn't want to use the \My Shared Folder thing, but when I tried to change my folder for downloaded files wine chrashed. I solved this problem by editing the wine registry files user.reg and system.reg. I searched them for 'share' and replaced all the found shared folder entries with the directory I wanted. Remember: By default the download directory ('My ....') is shared. So if you change all the entries you'll have a config, which shares all files in the download directory. I didn't figure which entry is for shared and which is for download directory.

Now I wanted to test an actual version of Kazaa Lite. I deleted my /c/program files/Kazaa.... folder and run the installation program with 'wine kazaa_lite_kpp_241_english.exe'. During the setup: DON'T enable 'reset registry entries'!!! Start the program with 'wine kpp.exe Kazaa.kpp'. Reseting the registry entries will make Kazaa start with a configuration window that causes a crash. If you keep the registry the new version will simply run with your old setting.
Done.
Maybe it will be possible to create the needed registry entries for version 2.4.1 with another version than 2.1.0,if you get the 'helper' version to run.

Hope that guide will help you, but if not, don't give up. I've experienced a lot of trouble with wine myself, you just have to keep trying