I'm not saying it's morally sound, but I don't agree with the equation of downloading necessarily equals stealing. It's something else.
Stealing implies taking something and that something no longer being there. If I walk into a store, and they have 20 CDs, and I steal 1. Now, there's 19 CDs left. If I download something off the internet, nothing is missing. That copy of the CD is still there, untouched.
A better analogy would be going into a store with a ray gun that copies whatever it touches. Could I now copy a pair of jeans and go on my way? I'm not taking anything from the store, but then I'm not giving anything to those who made the jeans. It's a grey area. Is it right? I'm not saying it is, so I better not get flamed. I'm just saying it's not as cut and dry and it's certainly not the same as walking into a store and taking a CD. It's not even close.