Music is copyrighted material. As such, certain exclusive rights are granted to the holder of the copyright. Such rights include the right to
-Produce copies or reproductions of the work, and to sell those copies
-import or export the work
-create derivative works
-perform or display the work publicly
-sell or assign such rights to others
-transmit or display by radio or video

When you pirate, you are violating the copyright. Thus, you are breaking the law. What i referenced is USA law, but im positive the UK and other EU countries have similar copyright laws.