Over the past few years there has been a big thing about who is allowed to download what online. A couple people came up with software you can use to download and trade music, videos, pictures, software and more online. The biggest was Napster. They don't run that way anymore because they were sued.
Now in order to download copywrited stuff online you have to pay for it, legally. There are still sites and software that let you do it for free. They come and go as they are sued too.
You can legally trade and download anything else online as long as it's not under copywrite. Many of the things you will find are perfectly legal to download, some are not. Download with caution.