Important: This article contains opinions and information about copyright law. Keep in mind that I am not a lawyer and have not been a lawyer in any past life that I am aware of. If you have specific questions about copyright law you should contact appropriate legal resources.
People work hard to develop graphics, write stories and articles, design web sites and build software, among other things. They are sometimes paid for their efforts, sometimes not. In any event, in United States (and in most of world) anything that you create or write is automatically protected by copyright.
You do not generally need to register your works with copyright office in order for them to be protected. Registration simply serves as added insurance - it gives you ability to prove that you wrote or created item on a specific date and formally establishes you as copyright owner.
The person or company (if you create work for a company it belongs to company) owns rights to publish material. These rights do not stop no matter how many times material is illegally copied or if copyright holder gives you a copy. He still owns copyright unless he signs it over to someone else.
The point is that taking someone's images, writings, songs (MP3's included), videos or anything else is violating law and person's rights. In fact, it is stealing and, if proven, violator can be held liable for damages.
So what do you do when you see that cool graphic or sound file on internet and you want a copy? Well, you can write to copyright owner and ask permission to use it or to make a copy (always get written permission - anything not in writing is difficult to prove in a court of law). Getting permission is not difficult and it is rewarding to create a web site or other work knowing that everything is totally legal.
I've found that most artists and writers on internet are completely willing to allow their work to be copied as long as they get credit and a link back to their site. Occasionally I've found an exception - an author or artist who does not want to allow casual copying. In this case best thing to do is to follow wishes of copyright owner - don't copy material.
A good rule of thumb about using materials gleaned from internet is: if you have any doubts about being able to make copies, don't use it. There are way too many good public domain sites for clipart, music and video for there to be any excuse for illegally using copyrighted material on your site.
One of more interesting copyright violations occurred between owner of Star Trek (Viacom) and every non-sanctioned Star Trek site on web. Viacom decided that it didn't agree with people using Star Trek photos, graphics, stories and other materials as it owned copyrights. So it send out a letter to every site it could find telling them to cease desist. They succeeded in alienating most of Star Trek fans in world and in angering just about everyone ... and most of site still seem to be operating. Yet, legally, Viacom is correct ... they do own copyrights. But was it a good move to act way that they did? I don't think so, as Star Trek has a huge fan following and allowing fans to create literally thousands of web sites is probably best advertising that Viacom could have asked for.