As LeMarchand indicates, Vuze isn't a website. It's a program which allows your computer to connect directly to someone else's computer, so that you can download files (and so that files in your 'shared' folder can be uploaded to other people's PCs). It's similar to to Limewire (except that it's specifically designed for video content, and connects via a different network).
Every time you download a movie using Vuze, you're connecting to a different stranger's PC. That person might have a virus on their system (even without them knowing it) which could potentially be transferred to your computer.
Further, since the movies are almost certainly being distributed without the permission of the copyright owner, every download is a civil offence (for which you can be sued). Worse though, the system relies on files on your PC being made available to others. That counts as both a civil offence and a criminal offence (for which you can be fined or imprisoned).
UK ISPs are now working closely with copyright owners, to detect and report illegal file sharing activities. Most people who're caught usually settle out of court (for sums which are typically between �500 and �2000) but some people end up with much larger bills:
http://news.bbc.co.uk/newsbeat/hi/technology/n ewsid_8108000/8108589.stm
Chris