No, I said use your common sense and "copyrighted" doesn't necessarily mean it is forbidden to share (up- and download) a such file.
Files released under a
GPL or
Creative Commons (just to name two) License are for example copyrighted but you have the permission to share them under certain terms.
The Music Industry has (to my knowledge) never given the permission to share their music (afaik they give you the permission to listen the music but the media and the data on the media is still their property).
As for music sharing -- it is fine to share your own composed music or check out music shared under
CC or ask the Music Industry for permission!
Well, something you shouldn't forget is that US-Laws are NOT World-Laws. We cannot give you a definitive answer and you should consult a local lawyer. The above is just a rule of thumb and applies somehow in North America and the EU. It is also a matter if you're willing to take the risk to get cought but that is your decision.
Edit: Oh, writing in upper case is considered as SHOUTING.