The program is LEGAL all over the world. However how you use it is the issue. If you download copyright material then whether that is legal or not depends upon your local laws. Different countries have different views & laws in this area. NOt all files on the gnutella network are copyright. But if you seek copyright materials, then check with your local laws. Else go out & buy them.
BTW did you ever consider that this question had been asked on the forums before? Most forums require you search your topic before posting a question about it. Otherwise they often just get ignored or removed on many forums. The search button is above. YOu would search legal