When I tried BearShare, I noticed that one of the super peers that connected me to the network was based in Hong Kong, and the other one was based in Isreal. So, I think that the long answer is that the Peer to Peer network does not respect national boundaries. The question then is; Is it illegal to download music in the USA. That would depend on copyright law in the USA.

Some people actually make their own music and distribute it through the Internet without any Copyright Protection. I would have thought that they were the exception.