When ever I go to download anything, a little screen comes up and says:

Limewire is unable to find a license for this file. Download the file anyway?
Please note: Limewire cannot monitor or control the content of the Gnutella Network. Please respect your local copyright laws.

And then theres the yes, no, cancel option.
I just really need to know if I can continue, and this isn't illegal in anyway.

Or if anyone can just tell me what it means.
Thanks.