Peer-to-peer (P2P) file-sharing programs are common on many computers. The primary function of many is to facilitate the transfer of music files between a large network of computers running the software. Their popularity is due in large part to the fact that the available music (which would elsewhere cost money to purchase) is available through the P2P client entirely free of charge.
The problem with these services is exactly that—no one is getting paid. No matter how you look at it, the artists who went through all the effort of producing those tracks receive no compensation. The same is true not just of musical artists, but of directors, actors, writers and so on whose works are illegally pirated on the Internet.
The Bible says very clearly that "the laborer is worthy of his wages" (Luke 10:7; 1 Timothy 5:18), further commanding us, "You shall not steal" (Exodus 20:15). The artists and technical teams who have labored to produce music, movies and other material are entitled to the price they set on their work. If you want what they've produced, you should pay for it. The alternative is theft, forbidden by God in the Bible.
(When you think about it, downloading an album for free is roughly the same as picking it up in a store and just walking out the door without paying for it. In both scenarios, you take something that doesn't legally belong to you, and those who deserve payment don't get it.)
Of course, occasionally artists will offer their own music for free or at a very low price, and legal download services will from time to time offer free downloads as part of a trial subscription. In such cases, downloading is not stealing.
For more insight, please read our booklet The Ten Commandments.