One of the conditions of Russia joining the WTO is that they shut down sites like this. While it technically is legal in Russia at the moment, Benmech is correct in that it will be shut down soon. See summary from MosNews below:
AllofMP3.com has claimed for some time that they are legal under Russian law because all of their works have been licensed by ROMS licensing group, and ROMS itself says that it carries out its activity on the basis of the powers given directly by the Law, irrespective of the presence or absence of a contract with a rights holder. In essence, ROMS has given out licenses to music without any permission from the copyright owners to do so.
Whether this is legal has been the subject of heated discussion for years, with AllofMP3.com most vocally asserting that it is. ROMS was booted from CISAC, an international organization that represents 217 worldwide copyright societies, back in 2004.
Whatever the truth, Russia has agreed to modify its laws by June 1, 2007 to clarify that such activity is illegal. It will also take enforcement action against Russian websites that violate IP laws.