Can I download music of the internet if its not on itunes or anywhere else that sells it?

Ok so laely i just got an email that said i got caught for downloading movies of the internet so i am just really caucious about my downloading of the internet and i was guessing that the email goes the same for music but there are some songs that aren't sold on itunes or anywhere else so is that ok to download of the internet. I was guessing so because i read something about it not mattering if it was no licsenced