Well ... depends upon your local copyright laws. If something can be purchased on CD then it is copyright. And yes, Metallica is extremely anti-p2p sharing unlike 'some' other commercial artists. And unlike those yet to be signed to a recording company who appreciate the distribution of their music via p2p & thus the popularity, etc. it can gain for them.
My answer is short because copyright laws differ as per country. Risks is generally related to quantity. Some countries downlding copyright material is not illegal but uploading it is. Some countries neither uplding or downlding is illegal.

How do I learn about copyright laws in the U.S.?

So according to what you said "if it's available on CD it's copyrighted", that doesn't leave a whole heck of alot of stuff to download right? I mean what CAN you download? It sounds like I can only download local upstart bands without recording labels and that's about it. I don't see how Limewire can operate with a sharefile based on such a small market.

If I've seen it on T.V., saw it at the theatres, or heard it on the radio; it's going to have been copyrighted.

I don't mean to sound negative but I heard all this hype about how great it was to burn CD's off of Limewire and it looks like you really can't (read not allowed). That means everyone I know is in violation of some federal law.