A torrent file is really just a file that links(tracks) to another file on someone's computer. The premise of downloading torrents is that you simultaneously upload the parts of the file that you have downloaded, therefore everyone benefits. It is definately one of the fastest ways to download but you need to make sure your router/modem is set up for it.
Website is www.bittorrent.com, downloading applications are bittorrent, azureus, shareaza etc.