To throw a little bit of extra info into this thread, under Canadian copyright laws, it is 100% legal to download mp3s, or to have them on your computer. In Canada, all blank media has a tax on it which is designed to compensate artists for their products that are copied. You are allowed to have copies of music, even if you don't own the original, as long as it is for personal use only. This law originally was designed with tapes in mind, but was recently ruled that it applied to mp3's as well.
So in Canada, downloading mp3s is totally legal, but uploading is not, as it breaks the personal use rule.