You could download it, if you had your own legal license. But downloading becomes pretty risky in a number of ways for this type of thing..
1. You run a heightened risk of some nasty stuff being bundled with it.
2. This goes with #1, but its somewhat more difficult to actually find a virgin iso of XP, XP SP1, XP SP2, or XP SP3 anymore. People are creating all these modified editions with other stuff preinstalled, and that for sure violates any chance you had at the legal argument if you owned a license key.
3. Your ISP or any other watchdog agency might see what you are downloading and suspect you are pirating it and then send you a warning, or in extreme (unlikely) cases actually prosecute you for it.