what shall I do?

[Alfred M. Szmidt]

   Millions of people around the world downloads mp3 songs with musics
   from famous artists and movies from the internet. this is ilegal
   (without paying copyrights), but they still do it.

Since when is this illegal?  In Sweden atleast, it is quite legal to
download songs and the like.  And I belive that this is the case in
most countries.
 
   Certain things (like free software, internet, knowledge and art
   sharing) are part of a movement that no laws will stop.

I don't belive that for a second, take patents for example.  You can't
implement an MP3 player that is Free Software without violating a
patent, making it essentially illegal.