I'm not sure if web sites are liable for linking to bootleg/copyright-infringed material. That's a good question as it happens all over the internet.
And, joe is right--it's become a circus that artists and companies are going to have to evolve with unless law and order can somehow be enforced online. Artists like Lady Gaga and Madonna seem to have embraced it, knowing it's all just free promotion. That doesn't mean that their record companies are as cool with it.
It's a big, murky ocean.