When you buy a commercial music CD, you aren't buying the music on the CD, you are buying a LICENSE to listen to that music.  Making someone a copy of that CD violates the license, and is illegal.  Sharing those same songs on the PC for others to download is also a violation of the license, and also illegal.  For the most part, if you down own a license for the product (such as: an original CD, LP, cassette, etc.), it is not legal to have a copy of the song.  People who do this are called "pirates."

Now, there are plenty of bands who put up their own band's MP3s (often songs that aren't available on their CDs) that, under the license for that song, can be freely distributed and played non-commercially.  These files are legal, and sharing them via Kazaa or anything else is legal.  This is the justification all of the filesharing companies use ("Much of our content is legal; it's not OUR fault if people use our software to break the law and illegally share music they don't own the rights to.")

There are several companies that have set up to sell you LICENSED versions of some of these songs, which are downloaded in file formats that include security to prevent you from sharing them with other people.  Some version of this is what RIAA should have been pushing for all along, but the record companies that fund RIAA don't want to lose that much control and money, so they have been fighting against downloaded music entirely.  And they have NO sense of humor about the whole thing.  They've been busting a lot of people who assumed they were "little fish" and would never get caught, or in come cases, people who don't even know that their (illegally downloaded) files are being shared.

If you're going to play this game, you really need to educate yourself about the issues, or you could end up facing hefty fines...

-Troy