Free ones aren't legal, but it's up to you to decide whether or not you go down that route.
Also, the free ones are not websites, they're peer-to-peer networks. That means you install the software, make a folder available (you don't have to, but it's good etiquette to do so) and your machine in effect becomes one of zillions of servers. So when you do a search, it searches the available folders on the online machines and you download the track directly from that - there's no website to go through, ergo there's nothing for the regulators to shut down.
There are various applications available. Try Win MX from click here.
Be warned that these apps can come laden with nastyware. Once you've got it installed, and before you go online, run your AV software and Spybot and Adaware to weed out any nasties. Having said that, I've found Win MX to be pretty free of such stuff.
Oh, you'll need broadband. Trying to download a big file on dial-up is like trying to slurp up quick-setting concrete through a straw.