You can drag & drop some file/folder into the Azureus window. The default behavior is to create a torrent for that content and "share" it, so that you can easily... share that particular file by sending out the magnet link for it.
You might though, do that inadvertently and want to get rid of the created torrent. Simply removing it like any other torrent will present you with an error like this (with certain Azureus versions):
Removal Action Vetoed This download is the result of a resource being shared. To remove the download remove the associated classic-share
So you need to go to the 'Tools' menu in Vuze (or the 'View' menu in old classic Azureus interface), click on 'My Classic-Shares' and delete the entry from there.
Alternative reason for the Removal Action Vetoed error might be an ongoing media transcoding.
Read the Azureus FAQ