Did you install RealOne after installing Kazaa? Try looking at the file type associations and set them to your preferred devices.
Under Windows Explorer, go to the Tools, Folder Options then FileTypes, look for the files you want to have assoicated with Kazaa, and if they are typed to RealOne, then change them.
If the files you are trying to play are .rm .ra .ram, which are Real Audio formats, I do not know if Kazaa can decode these formats. So this could be a reason why they are launching RealOne.
Make sure Kazaa can decode the files your trying to play, then check on the associations as mentioned above.