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Downloading Without Paying: Why is it illegal?
When a movie or song is produced and marketed, everyone involved in the process has monetary gains from the sale of that product. Therefore, that product is protected by copyright law so that it cannot be copied, reproduced or resold without their permission. If you did not pay for a song, movie or other media file that has a copyright, then downloading that file is a crime. Likewise, distributing a copyrighted media file, whether via electronic or non-electronic methods, without the express permission of the copyright holder is also illegal.
Just to add perspective here. If you see a game on a web page, there is no crime until you duplicate it. The game by itself is still one copy. When you hit the download button you just made another copy of it. This is why its illegal. Its not that you now own it, because if downloading deleted the server copy you would be fine. Just like you can give your friend a CD. One copy, one purchase...