It’s a divided issue among poskim. Aderet music used to put this really bizarre “contract” in their CD cases that basically states “This is not your CD, this CD and all of its contents belong to Aderet and you are a renter. If you copy anything from the CD the rental agreement is annulled and the CD must be returned”.
Nowadays, the music industry has learned to live and cope with piracy. There may be nothing technically wrong with pirated music, halachically (again, big machlokes poskim) speaking. So they make their music readily available and easy to get to for anyone who has the Internet and a credit card.