This is going to get removed, but oh well.
Neutral answer: The site's themselves are not located in the US and thus aren't subject to our copyright laws. Most are hosted in Sweden which is famous for being neutral in international matters. Recently however the founder of the pirate bay was found guilty in a civil suit in Sweden and ordered to pay something like 7 or 27 million dollars, I forget the actual amount. However that's pending another case since it was appealed and iirc that judge's impartiality has been called into question.
The site's exist because there is a demand for them, and technically they're not providing you the pirated material, only the means to acquire it. Sort of like how a head shop isn't liable for you smoking illegal substances from a bong or pipe they sell you.
As for personal opinions on the ethics of piracy, I'll leave those for another thread.
As for the letter/warning/whatever you got, just ignore it. It's a scare tactic. Companies rarely, if ever go after individual people for individual downloads. Going after the site's themselves is rarely successful, so it's simply not cost effective for them to go after you and I.