most of us pirates get our media by using torrents, in Europe and north America piracy is illegal ( downloading copyrighted material without permission is a better term ) and it is punished by law some countries gives huge fines and other can even jail you for it ( like USA ) but it is not the government who is in the lookout for these people but "copyright trolls" an independent companies pied by the copyright owner to extract settlement money from people ( essentially they go to people saying :"you have infringed our copyright so if you don't want us to sue you, you can give us i don't know .....50K $ to forgive you )

how they catch these people in the first place is by going to torrent trackers and logging IP address then figure out whose those IP address belong to,in some case they would go to the IP owners directly but mostly they go to the ISP and send them a letter saying "this IP address did a no no downloading our song that we want to go triple diamond💎💎💎" witch the ISP to avoid trouble forward it to you, and depending on the ISP they may do nothing afterward or ban your account after multiple infringements which if they are the only ISP in town sucks.

what VPNs do is that they mask your real IP address so they can't know who you are to sue you and if the VPN have a no logs policy they wouldn't know your real address even if they try to sue the VPN for it.

note that this does not apply to DLL (direct downloads from websites) as it does not count as evidence that you visited the website even if it hosts copyrighted material in most countries

i tried to explain this as simple as i could , also note that i omitted some details for the sake of simplicity