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).
Its called "shrink", and retailers handle theft exactly like so. If the labels and publishers haven't thought to claim such losses on their taxes, then they need new lawyers.