Yeah, I am guessing the link birdy gave you will answer most questions. It depends where you live on whether it's legal or not for you to download it.
In the United States, downloading and sharing copyright protected material is illegal, however you will not get caught for just downloading - just don't share it. In most other countries downloading is legal, but sharing is illegal.

You might want to find out what the laws are in your country before downloading anything that doesn't have a license.