Format Shifting or more literally CD Copying to CD-R or Hard Drive is "Illegal" is almost all Countries (certainly US, Europe, Japan, Australia etc.)
Like it is (or has been, haven't kept up with current copyright and fair use law there) in Sweden, in Norway format shifting/copying CDs (or DVDs) is legal, for personal use and even for making copies to family and close friends.
What is illegal is making/making public/making available ways to 'crack' new copy protection schemes, but if they are already considered 'in general use/generally available' (very open to interpretation, I know) using and distributing such 'cracks' or programs is considered legal.