It depends on whether you're downloading/sharing copyrighted material & what your local laws are regarding that. LW itself isn't illegal but in many countries it's illegal to upload/download copyrighted material. Sometimes it's the sharing (uploading) of files, rather than downloading which is considered illegal.

Use the forum search to look for legal or legality...there are heaps of threads discussing this. A Google search will probably help you to find out about your country's laws