Downloaded any copyrighted materials, without the permission of the copyright holder, is always illegal. That applies both to downloads from specific websites (such as the one you refer to) and to downloads from P2P networks (e.g. using Limewire).
Downloading files from such sources is normally only a civil offence (for which the user can be sued but not fined or imprisoned). However, if the files are then distributed to someone else, the distributor is guilty of a criminal offence (which can result in fines or imprisonment).
Chris