In some countries in Europe (at least in Spain) it isn't a crime to download music or movies, much less to provide links. Another question is if it's illegal (crimes are a specific kind of illegal act). In fact, it isn't illegal at all if there is no money involved. Copyright holders are compensated with a "private tax" on recording media, including SSD.
I don't know about Sweden or Denmark, but anyway I suggest not to jump to conclusions unless you know more about the laws in those countries.
Well, if sharing copyrighted content isn't illegal, then obviously nothing I said matters. Go ahead and do it in the light of day and post stories about your exploits to the internet.
I just find the argument "we weren't really doing anything illegal, we were just helping you do something illegal by getting you 90% of the way there; so we should be legal." to be tedious and unconvincing.
Driving a friend around town is perfectly legal.
Driving a friend around town who just robbed a bank is not.
Saying "I have a bomb" in a school play is perfectly legal.
Saying "I have a bomb" to a bank teller is not.