Yes it is illegal but burning a copy of a friends CD seems pretty harmless to me but why risk it?
There are many options out there so you can get music for about $10 a month or less. I can think of a couple subscription services that have huge libraries that you can save your favorites and play them through your computer or send them to a receiver on your stereo without having to pay for each track. They even have subscriptions that allows you to download songs to a special device like an ipod.
There are also streaming sites you can build your own library for free and listen through your computer or stereo.