This is my first time with any forum so forgive me if I make mistakes.....please.

My simple question is.......I searched for an artist and was shown lots of songs but when I clicked "download: a little box showed up saying "unable to find licence" with the option to "download anyway"
The question is if I download this song is it illegal ???
If so why am I being given the option when I read on the site to show the copywright owner respect ??
Well that's my first try..not too difficuly really