piracy or not

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i've work at internet cafe for about 1,5 years. see many people and many common. my daily use to downloding especially manga(comic) or mp3/video. and all my friends sometimes just play here and ask for the new song or else, one day i dl (downloaded) and album. in the first prolog tha singer said like this "thanks for hearing this song, dunno ya pirate it from internet, copy from ya friend or stealing in the market" than i wonder, piracy is a crime, so when i do this dl over time, i do crime a lot. i wonder am i doing something wrong here? ps: even i dl it from their official website.