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).
Pirates love to use a definition of "theft" that puts the entire definition on the victim, instead of their own actions. They use definitions like "depriving the original owner", instead of "taking what doesn't belong to them".
The legal definition definitely involves physical objects being removed from their owners possession though.