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).
Stealing is theft, or in US law larceny, which is very clearly defined. Copying does not meet this definition, hence why copyright infringement is a separate offense.
Theft is a crime, copyright infringement is a civil offense (except commercial copyright infringement, which can be reached if the value exceeds $1,000 - lobbyists worked hard to criminalise what normal citizens were doing and had success in this point, while they still get away with fleecing everyone, both artists and end users).