Shareware
A truly great invention unique to the software industry is the concept of shareware. This allows you to "try before you buy". Generally, you download shareware off of a site like http://shareware.com/ or you purchase a CD full of "free" programs (free to try out, that is). Then you try out the software, and buy it if you like it.
It's so tempting, I know, to just keep the software without paying for it. Oh yes, the program certainly has some kind of protections, a serial number or something, but there are always ways around that.
But keep in mind that people have worked long and hard on writing the programs. For shareware, it's often a person or two working long into the night to create the tool that you've found so tempting. Just imagine that you're a shareware writer and you've found out that someone has stolen your program. What would you think?
And yes, it's stealing. If you just take something without an exchange of some kind and without permission, it's theft plain and simple.
Just so you know, this is the law. If you want to be legal you must purchase any shareware that you decide to keep.
But you won't get caught? Hah. That's what they all think. Some of the more clever programs send out registration data over the internet, so someone will know that you have it (I expect this t become more common). What if your friend, who knows all about your unlicensed software, decides he hates you and reports your "borrowed' copy of Office 97 to Microsoft? Is it really worth the risk?
My advice is to buy any and all software that you use. If you don't buy it, then delete it after trying it out. It's only proper and ethical.