There are several pertinent copyright rules you need to be aware of:
Rule 1: the copyright owners have exclusive rights to do certain things with their productions.
Rule 2: if you violate those rights, you can be sued.
Rule 3: one of those rights is the exclusive right to make copies.
Rule 4: another of those rights is the exclusive right to digitally transmit a copy of that music.
Rule 5: when you are caught infringing registered copyright in the USA you can be sued for up to $150,000 in statutory damages for each and every song.
Ask the Minnesota housewife caught "sharing" 24 song online (using KaZaa -- listing files on remote computes for free downloads). She was sued, jury awarded record company $80,000 per song.
Add; For those saying it's "stealing", you are misinformed (including a certain "law student" who needs to read a few more cases). First, SOME music you find online actually is authorized for download whether or not they ask you to pay for your copy. Second, unless there are physical goods being unlawfully removed from the possession of their owners, it's not technically theft, but rather "infringement" or even "piracy" (the federal crime of making illegal copies available to others, typically for a fee).