Not necessarily, but it depends on the website. If the website is legal, then downloading games is leagal. If not, it's illegal. Stay away from shady looking wesites, and you'll be fine.
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most are illegal if it is pirated. Although some places do offer free online games to be downloaded. But most online games have to be paid for to be downloaded. So it might be illegal depending on where you got it.
It depends what kind. If it is a game that you can only buy in the store, it almost certainly is illegal. You can download some open source games, or just go to a site like Shatter Games to play online games.
You Can't that would be illegal. You would have to download the game when you buy it.
No, but it is illegal to download ROMs, BIOS files or any unauthorized copies of DS games.
PS2 games are not for the PC and are illegal to download