When technology advances, social norms, rules and morals change with it. While one used to have to purchase music on a physical device like a tape, record or CD or record it from the radio, now it can be downloaded online. To me, this is similar to the old option of recording a song playing on the radio, it is not wrong and it is one of the new social norms that has evolved with the increase in use of the internet and improved computer technology.
For some reason we have rather strong laws for the protection of intellectual property. This is probably to consolidate power among a few. When a person has to buy EVERYTHING that they want, and nothing is free, someone will always benefit from the desire of others. Yet musicians don't make music for money. They do it for the love of music. People who download music illegally, do so for the love of music. It's not the musicians who are really benefit from the purchase of music, though they do, it is more so the record labels, who have little to do with the music itself.