I believe that in the USA, the violation is in the owning/possession of content that violates the copyright of the work. So it's not just the act of downloading -- you could be in trouble for producing the file, for storing it on your computer or a server you own, for delivering it via e-mail or even on a CD or thumb drive, etc. Where things get really complicated for us is in the issue of format shifting of a legally obtained copy of the work.
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