I assume she means that she didn't download it, but copied from a friend or similar. And, the law is a bit inconsistent on whether that's legal, since it depends strangely enough on what technology you use to do the copying, which may be leading to some confusion.

Copying music on analog media for personal use from a friend is fair use, under the Audio Home Recording Act; in return, the music industry gets a kickback from every blank tape sold to compensate them. However, the AHRA does not apply (in either the fair-use or kickback portions) to copying music from a friend for personal use onto your iPod. It's not clear very many people who aren't specialists understand that home-taping is legal but home-iPodding isn't...