Is it illegal to download a file if LW says they can't find a licence? If it doesn't have a licence is it copyrighted? And for confirmation, if it doesn't have a licence or/and is copyrighted, it's illegal to download it?

I really need somebody to help me because I now know that downloading a copyrighted file is illegal, but I still NEED to know if an downloading unlicenced files is also illegal. Somebody please answer me.