In the UK copying music is only legal if it is done with the copyright holders permission unless the music is out of the copyright time. Copyright exists in the musical score, lyrics and the sound recording itself.
Copyright of the sound recording is important because you can get things like a recording of an orchestra playing the works of a long dead composer whose works are now out of copyright having a new copyright on their recording of that work.
Info on music copyright can be found at:
http://www.intellectual-property.gov...rivate_use.htm
http://copyrightservice.co.uk/protec...usic_copyright