The single most common source of copyright violation notices is downloading files through peer-to-peer (P2P) programs such as BitTorrent, BearShare, Limewire, etc. It is important to understand that the vast majority of files shared using these programs are done so in violation of copyright law. While P2P programs are not illegal, these programs can be used in illegal ways. It is everyone's responsibility to use P2P programs legally and responsibly.
Here is a good rule to follow: "If you are downloading something for free that you would normally pay for, there is a good chance that it is illegal."