I'd download this instead.
http://www.utorrent.com/
Then visit
www.thepiratebay.org
Search for what you want etc. etc. then you download a "torrent" file. THis is a text file that controls the download.
Generally speaking, and I'm not a lawyer.... But from what I understand legal issues come from sharing, not from receiving. ie. You buy a CD rip it, and then share with the world. Or do the same with a movie etc.
I'm personally not worried nor do I think any of the Millions of users are. The people who are worried are the "trackers" the people providing the "torrent files"