Look at the downloading laws for your country. It's not illegal to download copyrighted works everywhere, in some places it isn't even illegal to upload.

like vistahater said above. In the US you can be sure it would be considered illegal, so if you live there, it is really no need to check out laws.

In e.g. Canada the authorities have stated that they aren't really interested in going after smalltime filesharers.

Where I live there are no laws against downloading music or movies and there hasn't been a single case about it so far.