In some countries, downloading is legal, it's the sharing (Torrent) that is the illegal part. It's like with CD's. You can have a old record, put it on a CD, put the CD in the computer, from computer to MP3 player/laptop/phone/touchscreencomputerthing or all. Then you have up to 7+ copies that are all legal. As long as you don't distribute them.
The record could have been given to you, bought it, found it in a dumpster...
Same with the files, if you found it on the internet, there is no licence stuck to it, you don't know if it was licenced. That's why, in the case of the mega-sites, only the hosts of the links were prosecuted, not the viewers. The viewers "had the files" while they watched them, but didn't share them.
So if you use torrent to download the file, owning it or not, it is illegal since you shared it. But using rapidshare, DC++ (upload off), megafile or other direct downloads, you are in the green.
That's what I can gather, atleast.
(One of my friends is a lawyer and I have asked him the same thing, this was also his conclusion)