It doesn't matter if it's a CD, a Film, or manual with the instructions to build a spaceship. If you copy it, the original owner doesn't lose anything. If you don't copy it, the only one missing something (the experience) is YOU.
Enjoy!
Of course, if you happen to have some extra money for donations to creators, please do so. If you don't have that, try contributing with a review somewhere or recommending the content, spread the word. Piracy was shown to drive businesses in several occasions by independent and biased corps (trying to show the opposite).
This is one of the few actually interesting counterpoints to piracy. The rights of the artist for the use of their work is a very nuanced topic. For instance, most people would say that parody and satire are very important forms of expression that ought to be protected. But those often dance the line of "infringement" in the eyes of the courts.
On the other hand, it feels wrong to say that an artist has to accept their work being used for evil purposes, like a group of neo-nazis using an open source font in their propaganda materials, or a group of religious extremists using a musician's backing track in their efforts to convert people.
I lean pretty strongly for the rights of the consumers of art to do with it what they want, but I admit it gives me pause on some of the edge cases. Very complicated issue.