The best place for you to start might be a book or web site on intellectual property rights and in particular copyright.

If however you're just looking for a quick rule of thumb, if you can find something (a book, cd, game etc) for sale anywhere (particularly online), it's probably not legal to download it or allow others to download it from you.

If you're still not sure but really really want to download a file, you'd do well to either consult your lawyer or keep very very quiet about it.