The only possible problem with downloading is "how can you be sure the copy is clean of Virus or other issues" ?
Otherwise, yes it is legal .. best bet is borrow a copy of the proper type (Home or Pro .. Retail or OEM) from a
friend and make a copy of it .. then use your key with it, if needed ... I for one, when I buy a new computer will
always insist on the cd's from the supplier .. even if it costs an extra $20 or so when I buy the computer. I do not
trust hidden recovery partitions .. you paid for the Software .. you should get the CD with it