it depends whether the possession of such is illegal. Some countries have laws forbidding the sale (provision, supply, whatever), but not possession of pirated music, others have laws forbidding possession and not sale...
I think the UK is likely (don't quote me on this) to have laws governing both the possession and supply of copyright material. Thats definitely the case in Australia, which has the same style of legal system, and the same (sort of) society.
However, most governments that i know of really can't be arsed hunting down an prosecuting the guy who downloaded episode3 before it was released in cinemas, they're more concerned with hunting down the guy who did the supplying. Basically most (probably all) governments just dont have enough rescources to prosecute everyone with 'illegal' copyright materials.
On a sidenote - in Aus, when the ipod came out, there were no *legal* methods to obtain digital music (aside from small bands that had picked up on the whole digi-music thing). Also it was (and still is) illegal to rip mp3's from a cd. So for about a year after the ipod became really popular here, there was really no legal way to have music on an ipod... But the cops didn't bother arresting anyone with an ipod, because its a waste of time and money...