Doing it on a one to one basis, like through an IM software such as MSN or ICQ, is really no different than making a tape copy of a record, as has been done since tapes were put on the market. Although both still illegal in theory, it will never represent any impact on the overall number of sales of a record. Music distribution on such a small scale is negligable. Nothing in comparision with broad distribution with Kazaa or the likes.
But, on the same topic, I do find it funny when I watch a cable company commercial on TV selling their Internet service with, among their argument "Download music very fast!" 
