So, breathe. Sit up straight :-). You're fine.
You didn't do anything wrong.
You copied something. Maybe it was a song, or a video, or some text. All you did was make a copy of it. You didn't steal anything, you didn't take false credit, you didn't intercept or dilute money that belongs to someone else. All you did was copy. You took part in a ritual as old as the human race: the act of sharing a piece of culture or information.
Some people may try to make you feel bad about what you did. They'll tell you that by copying something, you took money out of the pocket of an artist (but you know you didn't — in fact, you probably helped the artist by spreading their work). They'll call it "piracy", as though making copies of things is somehow like board a ship on the high seas, stealing its cargo, and doing who-knows-what with the crew. They'll tell you that what you did is analogous to counterfeiting money (it's not). They might claim to you that the whole purpose of copyright is to supposed to be to provide artists with a stable income, even though that's not why copyright was invented, copyright is not how most artists earn their livings anyway, and overall it probably does more harm to artists than it does good.
When these people tell you you've done something wrong, they're asking you to help support a myth, but you're under no obligation to go along. In fact, we'd appreciate it if you'd point them to this page.
So don't buy it.
We don't mean "don't buy the song", of course. You should absolutely buy the song (or movie, or CD or DVD) if you want to — though if you really want to support the artist, it's often more efficient to just send them money, because that way there's no monopoly-based organization in the middle skimming most of your support away (naturally, if you feel the intermediary is doing good work, then support them too; many publishers are providing a valuable service). It might be that the copying you did, or contemplated doing, is illegal in the country where you did it — a lot of countries have laws against copying. We encourage you to obey the laws in your jurisdiction. We just mean don't buy the argument. Don't give those laws authority over your emotions. If you've copied something, don't feel guilty. You didn't do anything wrong.
There are many practical and philosophical reasons for obeying a law you don't agree with, but there is never a reason to feel guilty about breaking a law you don't agree with. If you broke a law against copying publicly-available data, and someone's trying to make you feel bad about that, then send them here, or at least ask them to make a rigorous case for what they're claiming.
Can they justify the position that humans shouldn't be allowed to share culture freely? If they're saying that the economic concerns for artists are so great as to trump the serious civil liberties concerns with this position, do they have actual numbers to back that up? Have they talked to the artists who have been hurt by copyright restrictions? The translators who couldn't translate because the law wouldn't allow them to? The teachers who couldn't teach the material they needed? The publishers and distributors who couldn't bring great books and films to audiences?
Copying is not wrong, and you didn't do anything wrong. So don't feel bad — just spread the word.