Downloading a song from another computer is, incidentally, making a copy. So it's illegal, and on a sufficient scale, criminal.
Actually, risking pedantry here, the computer running the filesharing application that you are downloading the song from is what is actually making the new copy of the song, not the person receiving the data through what amounts to an IPC socket.

It would seem that the person running the filesharing server would be liable, not the downloader.