Is frostwire illegal?

A friend told me about frostwire, but didn't limewire get shut off because it was illegal? Where is the best place to download music legally? Of course it would be great if I could get music for free, that is obviously the best price, or at least somewhat cheap. I don't know anything about downloading or what constitutes as actually being illegal. It's so confusing. Like someone told me that it's not illegal if you just download it and it 'just sits there' but if you download it and share it/distribute it etc. it is? And how do you tell if what you are downloading is illegal or not? I want to get some new music, but I don't want to break the law. I just want to know what the boundaries are. It's all black and white and wherever I look online, there are always divided opinions.