If you come from a country where there are no copyright laws it might be a bit difficult to understand. To combat software piracy many companies are using DRM. Steam, Ubisoft, EA, Microsoft, all the big ones. DRM is a hassle even if you play legitimately.

I recently had trouble with Dragon Age Origins on Steam where hyperthreading caused crashes. I wanted to launch the game with set affinity, but due to DRM I cannot launch it directly from the exe file, thus I cannot use the launch options for it. I had to implement a complicated workaround.

GOG is DRM free. Games just work. No waiting for several minutes while the game checks the DRM, like in every Ubisoft game. But this leaves it open for exploit. The site you mentioned is exploiting this. And since it is very difficult to battle against it -- like MeowCanuck said when you cut one down, three more pops up in its place. The other option would be DRM. If you do not want DRM to infest all gaming, buying legally from GOG is a good option. Yes, you can get GOG games easily from pirate sites, but that makes everything worse for everyone else.

Games, especially a bit older games are not that expensive. Especially if you have steady income. If you want cheap, when a new game comes out wait a year. Play something else in the mean time. Often games drop in price after a year. I mentioned Ubisoft earlier. When you buy their Tom Clancy's Far Assassin Watchdog 17 Ultimate Edition, you have to pay €110 when it comes out. Wait a year and you'll find it for €25 in sales. Wait two years and it'll be on Humble Bundle.