If you accidentally download a cp file and then delete it right away shouldn't be anything to worry about. The Feds are looking for the Freaks that have hundreds or even thousands of these files that they are shareing. Just my opinion.
Would like to add this, Not only is cp but almost every file on the network if Copyrighted, is illegal to download, depending on what Country you live in. Obviously cp is far more troublesome in my opinion, than the basic music or video file. Just be a little peranoid and pay attention to what you download. Always try to Preview the file before its completely downloaded to see if its what you thought it was.

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