My own view - and I'm not a lawyer - is that technically the illegal act occurs when you download the file, regardless of whether you already have a legitimately purchased copy. By downloading the file you commit a breach of the copyright law - you are taking something that is protected, and you aren't paying a copyright licence fee.
It may well end up being the same as if you had made a copy of the CD you already have, but that isn't the point..............or is it?
One of the tests that I've heard applied is this:
If, by making a copy of a CD you already own you are depriving the copyright holder of a licence fee, then yes, you are committing a breach. On the other hand, if your act of copying is simply to provide a spare copy for your archive - in case something goes wrong with the original, then you aren't depriving the owner of a copyright fee, because if you didn't have copying facilities you probably wouldn't go and buy a second copy. You would simply make do with the CD you already have.
If you download a track that you already own on CD, what's the point? Why don't you just copy the CD?
The act of copying is only half the problem - the fact that you can download anything in the first place is because someone else is offering files. That person commits a different breach - that of distributing copyright-protected material. It's all pretty confusing.