Nah... the levy, at least here in Norway, is to pay for legal copying of music and films*.In some countries, all blank media has a tax on it which is then distributed to the RIAA (I think) because it is assumed that you will only use it for illegally recording copyrighted media.
You are allowed to copy music and films for personal use, and you're even allowed to share your legally acquired material, ie. bought, rented, borrowed at the public library(!), etc, with "your closest friends and relatives".
Downloading copyrighted** material is illegal, even if you 'own' the material on other media.
On the last review of the law (which actually made it illegal to download stuff, uploading has been illegal "forever"), it was touch and go for a while, because the suggested law text was much, much stricter, e.g. on copying for personal use, like ripping CDs for use on iPods etc, but since our Minister for Culture was an iPod user all turned out nicely in the end...
* Computer software, including games, are actually specially protected and aren't technically legal to copy, even for backup purposes. But since most EULAs gives you this right anyway, most people don't care even if, again technically, Norwegian law trumps any EULAs.
** Copyright (©) doesn't really apply in Norway, or most European countries, AFAIK, but all is regulated through special law which basically regulates the same...