Haha, Junta, they do provide illegal material but it's just that no one will ever get sued over it (it is a civil matter not a criminal one) - dead companies are just a pain and abandonware sites are, well, just that, abandoned games.
I'd not worry too much though, tbh.
I actually own TTD - so I play OpenTTD legally

it's awesome - and for AI there is a AI build with user-made AI's which are getting pretty good too.
(Posted from America, hies!)