DsS Game, in the USA, downloaing copies of copyrighted works is illegal without permission from the copyright holder. However, in the USA, it is legal to make backup copies of copyrighted software and such you own. You however are not to distribute such copies without copyright holder permission etc etc.

In otherwords no matter how you spin it, if you've downloaded a ROM, you've violated someone's copyright. The catch is, unless you are copying something that is still being sold, the copyright holder may not be inclined to take you to court unless you are mass distributing copies of their product or something. However it's still illegal or in copyright violation.