As long as it breaks copyright laws, it is illegal downloading,
whether or not you pay.
Things under copyright laws include softwares, music and
videos.
Getting files from Limewire or any other P2P may or may not be
illegal. If something distributed over P2P is under GNU General
Public License aka GPL, it is legal. If you have a group of artists
friends, who distribute THEIR OWN art work, music, etc, it is
legal, unless they specify that it shouldn't go around the
world.
Read
the full GPL license here
Anything that states EULA or End User License Agreement means that
the software is protected by copyright laws. If you download it via
P2P, from anywhere where you can get it free, you are violating
copyright laws and it will be illegal.
Sharing files over MSN is the same. So long as that piece of work
is not under GPL, you break the laws.
Even if you pay for something, but that company is not authorized
to distribute it, it is illegal as well. However, you are not to be
blamed for it. The company who unauthorizely distributes such work
is liable.