If it was in my country they'd be shutdown very quickly. We have government depts that deal with these type of sites. But, these sites exist all over the world. They often open up, make some quick money & then move onto a new site address & name, etc.
The gnutella network is full of files shared by people like you & I. That's what it's all about. The files you downld are not from a server.
A no. of scam sites have used winmx & I've also heard of people getting a scam version of winmx & when they updated, they got LW instead the next time or some other p2p client.
But if you're happy supporting a scam site that takes money for leading you to a free software & what people share for free, then that's up to you.
BTW I doubt very much they would have a server with copyright songs on it. That would be illegal. Why do you think Grokster, etc. were closed down.