Technially, you're allowed to copy the disk if you own the original. This is supposedly for back up purposes only. However, if you give the disk to your friend or sell it or anything like that, then it's considered illegal. If you're caught with a copy and own the original, they can not do anything to you.
Edit: You beat me Tyler. Yes, downloading them is illegal, as long aas you copy your original version, you're good.