If it is copyrighted it may be illegal to download...It can depend where you are from and what the laws of your country are...
To check your laws use google...
The orange warning banner with the padlock was added because there's a bogus LW update showing up in search results. It's a 75.7 KB .exe & shows up as "Urgent LW update - download & install now". If people download that thing they could end up infected. To try to prevent careless people from downloading a dangerous file, the warning banner was added to LW's interface.
The padlock symbol doesn't apply to music or video etc, only to LW updates....