Almost anything from limewire or other P2P programs is illegal. There are of course some files that aren't. Music generally is however. Now as for sites I know that Russia's laws are not as strict as ours and you can get music extremely cheaply and sometimes for free on russian sites.
Then of course there is iTunes and the like. Personally however I would rather buy the CD as it is much higher quality and is permanent. No worries if you accidentally delete a song.
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