More often than not, legality and morality are congruent with one another - but this is not always the case. Just because something is a law does not make it morally correct.
I believe that it is most certainly morally wrong for a game developer to keep you from playing a game that you have already paid for. If a law happens to disagree with this, then the law itself is corrupt and void.
Then again, if you have a CD key, or any other proof that you bought the game (receipts, original packaging, etc), then you could email the developer and request a CD. This happened to me in reverse - I had the CD's for a game, but lost the CD key. When I provided a sufficiently high-res photo of the game manual, my receipt, both CD's, and the original case the game came in, they were kind enough to provide a replacement CD key.
However, if they had refused, I would most certainly have downloaded the game from less-than-legal channels.
I do not, however, condone the illegal downloading of games which have not been paid for. If you're too impatient to wait a few weeks to see the user reviews, or too lazy to use Google and find out if you are going to like the game (without illegally downloading it to try it out), then you deserve to throw away sixty dollars on a POS game.
It's tempting to subject developers to the trial by fire of "Let me play your game, and if you impress me, I'll pay you for a copy", by first obtaining an illegal copy of the game - but at that point, you're either willfully downloading a crappy game just to punish the developer (a waste of time and hard drive space), or being overly cautious about possibly spending money on a bad game (in which case, you should merely be more patient, do more research, and read more user reviews). This is why illegal downloading to 'try' a game before buying is fundamentally wrong.