I think you'll find on most legal download sites that it specifies what you can do with the music once you've downloaded it.
I can't remember exactly which site does what, but it's all to do with DRM (digital rights management).
If you read the FAQ on each site, it will say you can burn 2 copies of a CD, have unlimited use to transfer it onto an Mp3 player and also some will let you put it on say 2 other computers.
I've looked at Napster, I-Tunes and also Wal-Mart and they each specify something slightly different in regards to moving and copying the music.
On some sites, when you have downloaded the song, you have to be on line when you first play it, so that they can download the license for it.
It's still a bit of a grey area, but if you click here, it will explain it in a bit more detail.
The above site is a U.S site, but I assume if you look at Napster/I-Tunes and Cokemusic (or whatever it's called), they will say much the same.