Theres a machlokes poiskem about copying. If memory serves me correctly, Rav Eliyashev Shlita holds dina dmalchusa dina does not apply between two Jews (only between man and State), and a voice (or sound) is hefker.
There are other reasons not to copy, especially if you are considering purchasing the CD, as you may be taking business away from a Yid by copying.
Don’t quote me on the particulars above, and ask a shaila first. But that is my quick recollection on the matter, and no more.