The difference is that a pirate version uses a serial that has been blacklisted and cant activate. Therefor you get the WPA that tells you that your software isnt legit and you cant get any updates or download from M$'s site.
This does answer your question. Microsoft only makes one version of Windows. So, he copy you are downloading illegally may or may not be the same as the Microsoft version. It could have any number of hacks inside it that you may never find out about or it could be exactly the same. Regardless, its probably something you should try to stay away from. Just keep using whatever you are using until you can afford Vista, or start using Linux; it and most of its software are completely free so you don't have to worry about any of this pirating stuff.