More than likely, yes. You need to give Shareaza full permission to act as a server with ZA. You're also probably on a shared internet connection, right? On a LAN or behind a router or something? If so, you need to open up port 6346 on your firewall and/or router. BTW, you'll probably get more help at the official Shareaza forums. Unfortunately, the site is down ATM, but I'm sure it will be back up shortly.
Also, if you are on a LAN, or behind a router, then running ZA at the same time is pretty pointless.