Illegal, hmm. Well all the music I have is made on the interwebz, for the interwebz. If you're downloading Green Day, Social Distortion and whatever it is you guys listen to, kind of. It's more of a morals thing. You can download as many songs as you want without hurting anything. Share them with a few friends or whatever. But if you did so with say, 200,000+ people, I'd say that would be worth noticing as illegal.
The service itself isn't illegal, since it's how you use it that decides. That's like saying Hypercam is illegal.
Anyways, I have a site for downloading videos&audio(mp4), but I can't really do that on my DSi, so wait a day or two.