Most sites where you can download movies are P2P (peer to peer), or file sharing sites. You need to download special software to access the material from these services. The legality of this practice is rather confusing, and is something that's being fought about right now. The movie companies, as well as mainstream distributors of DVDs obviously would prefer that these sites were shut down, but that's not such an easy thing to do on the web.
Some movies, mostly older ones, are in the public domain, and there is no legal issue about these. However, newer movies are copyright protected, so you don't have the legal right to download such movies without protection. In practice, this is very difficult to enforce, but it is in violation of copyright law.
For the average internet user, the problems with P2P sites are more immediate than whether they will be charged with a cybercrime. This kind of software opens up your computer to all kinds of potential problems, such as viruses and malware. If you are computer savvy, or if you're willing to invest lots of time or money into safeguarding your computer, you can protect yourself to some extent, but clever hackers often break through such safeguards.
It may be worthwhile to ask yourself if it's really worth it to break the law and put your computer, and everything on it, at risk just to download material that you can find quite inexpensively in more straightforward ways. However, some people get a thrill out of "beating the system" even if it ends up causing them more problems than it solves.
There are a few online movie sites that operate legally and without P2P, using their own servers and obtaining their movies with the proper permission. If you want to be safe, you could use one of them. Otherwise, you're better off sticking to cable, Netflix or your old fashioned video store.
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