DivX is a not illegal (the term Warez in this case is wrong anyways ... it usually applies to pirated software, not stolen copyrighted material in general). DivX is a compression method to bring video files down to a fraction of their original size while keeping a certain quality. Actually, I'm wrong - DivX is illegal, as it uses Microsoft's MPEG4 code, without MS allowing that. But as DivX is floating around pretty much everywhere, this can't be too important.
However, copies of movies are often illega. DivX is an optimal format to spread those around the net, just as MP3 is for audio. However, this doesn't make the codec itself more (or less) illegal, just as the MP3 codec is perfectly legal in itself while copying licensed music seems to be illegal.