Because you're pirating, which is like stealing. Stealing a piece of crap for which you won't be prosecuted and no one will care for, but still stealing.
Or am I confusing morals with ethics?

The Grey area I was speaking of was in downloading the ISO or install files if you owned a valid license.

Well, I had to take a break from this thread to go pick up our old dog from the vet. I looked at hip xrays and chatted with the guy at the desk about annoying people we've encountered in WoW. It was a pleasant drive. The radio played Toto, Thomas Dolby, 'Til Tuesday, and The Cars. After dropping off the dog at home and giving my wife the bad news about his arthritis, I made a quick trip to pick up some tapioca pudding for her troubled tummy. As I was leaving the grocery store, a woman was running up the hill of the parking lot pushing her cart and smiling at her son who giggled in the seat.
The entire experience helped me to put this conversation in perspective, and I think I will now celebrate with a gin & tonic. So cheers to Nafe, who I believe understood what I meant, and best regards to the rest of you.

No, you're confusing stealing with copyright infringement.

Yeah. People fuck up... but read his post to which I replied:
"To ethically break the law requires a very good reason."
now. We are talking about petty 'crime'. Can be compared to jaywalking in my opinion.
Every single time Syme jaywalks he breaks his ethics, he goes against his moral fiber.
Fucking up is not the issue here. Choosing unethical solution instead of ethical one results in betrayal of ones principles.
If Syme himself cannot stay true to his principles how can he judge others whether they are doing right or wrong?

The thing that's morally wrong about stealing is depriving the owner of their property. This isn't the case with copyright infringement and so I don't think it's valid to say it's morally wrong for that reason.
As I mentioned at the start, I don't agree with the idea that to break the law is always ethically wrong. However I also didn't agree with your assertion that you can't be aware that certain things are wrong and at the same time be aware of ones own wrong doing from time to time Well, at least without being a hypocrite anyway.
Basically my point is that while I disagree with Syme's original point, I think the logic behind it is sound.

Until you can be completely sure that the copyright holder has no interest in their copyright (and you get permission) then you will be infringing on it.
Look, I'm only talking about the legality of it not the morality of it. Pretending it's not illegal just because you feel it shouldn't be (which I can agree with) doesn't really help anything. In fact more people understanding copyright laws might make them aware of how absurd some of them are and actually want them changed. I might be a bit too optimistic about that though.

You're depriving the author or producer of said product of his justified payment for his product and/or service. He loses money he deserves because of this. If said products were unpirateable, some people would never fork the money over them but many others would, so yes, getting the product through copyright inringement is stealing from their profits.
In the case of Windows 95, Microsoft isn't selling it anymore but pirating it deprives a flea market seller of a whole buck.

In a legal sense, yes, as others have stated, it is illegal.
However, morally, I have no qualms about someone downloading something that
A) The publisher no longer manufactures
B) That they cannot purchase it first-hand for less than or equal to the initial sales price
So I would consider pirating Windows 95 to be morally and ethically acceptable, unless Microsoft decides to start selling Windows 95 again (for whatever reason).
Let's take Planescape: Torment for example. It is not being manufactured legally anymore (at least, not to my knowledge) and as far as I know, no DD services have the right to sell it.
Looking on www.amazon.com for a copy, I see:
1 person selling it new for $160.
7 people selling it used for $60 or more.
Despite one of these selling it as new, they're still all second-hand products. The developers don't get any money from its purchase (nor did they get any from the person who is selling it). So, does the developer get any money from my purchase? Is the person selling it violating the EULA? Probably. So do I have any qualms about people pirating it? No, not really.
However, if, say, GOG were to obtain the rights to Planescape: Torment and start selling it, I would once again consider it unethical to pirate it (and those who did pirate it would be, in my opinion, morally obligated to buy a copy from the publisher).

This made me look for Win 95 on ebay (UK). And - there are twelve copies for sale. Lowest is listed for £0.99 ... highest for £34.99 O_O.

Unless I've misunderstood everything I've read about copyright, its a fixed term monopoly wherein the rights holder has exclusive rights to control distribution of a product. The fact they do nothing with this or even enforce it may well be bad business or a sign of neglect but it does not invalidate the copyright.

I've seen a few webshops here selling new copies for the same price as XP pro

You mean buying the software and then copying it and selling it yourself is morally wrong but downloading it from someone else is not? I think (my opinion here, everyone has one and all that) they're both wrong, maybe one more than the other, since you're not just depriving the producer from his profits, but also making money out of it.
I have a different perspective about piracy. I live in a third world country and it's a whole different beast here. People sell pirated CD's on the streets and even go inside buses announcing the latest movies or music CD's. People who'd never buy them at Blockbuster because they can't afford them end up buying it there. They're not really a lost sale but what about those who CAN and WOULD have bought the products legally? They see Joe Poor buying the latest movie and go, "You know whta? Why should *I* pay for something I can get for a pittance or for free?". Those are the lost sales the producer will never be able to bank on. Those are the sales he'll never make, the money he's losing to piracy. You buy a pirated product you support the pirate and screw the producer. You download an illegal copy and that's money they'll never see for their hard work. In my eyes, it's morally wrong. And before someone calls me an angel, I've got software worth a thousand bucks that I simply, realistically cannot afford. My games however are legit, because I can afford the $30-40 they're priced at.
You also said this:
The thing that's morally wrong about stealing is depriving the owner of their property. This isn't the case with copyright infringement and so I don't think it's valid to say it's morally wrong for that reason.
That applies to new software as well, not just to the Windows 95 example.
I think pirating a copy of Win95 is morally wrong, mostly because you're using illegal and questionable venues that could potentially entice you to try it with other products, but please, who's going to care?

Sorry, I wasn't very clear. When I said "the only time piracy is wrong is when you actually may have purchased the software" what I meant was if you had no access to piracy you would purchase it instead. Basically, if the net result of piracy is a lost sale then I think it's wrong. If, for example, I download the latest mega ultra expensive Photoshop to give it a go, I don't see that as morally wrong as there's no way in hell I'd ever buy it. I'd be downloading it out of curiosity and if I had no access to the pirated version I'd not buy it instead. Given this, there is no negative effect on the developer/publisher.
On this we're in complete agreement. I can afford games, movies, whatever. That I know several people who can't and instead download it does not give me an excuse to download it too, so I don't.
I don't think one can equate stealing and copyright infringement, but that doesn't mean that I think it's always OK to pirate things. As I've said above, if the act of piracy in any way negatively affects the developer/publisher then I think it's morally wrong. However, piracy does not always negatively affect the devs/publishers so I don't think it's black and white. I expect the overwhelming majority of piracy is simply a case of people not wanting to pay for something though, which would be wrong.
Given all that, I still don't feel that pirating a copy of Windows 95 would be wrong. That last point you mention about using illegal and questionable venues isn't relevant, I know a number of dodgy sites I can download things from but I would be able to control myself enough to get what I want/what I feel it's OK to take without being led to download things I would otherwise buy. If someone goes and downloads a copy of Windows 95 and then, because it's there, downloads a cracked copy of Windows 7 or Vista then that would be morally wrong but a different matter entirely.

Okay what about video piracy? I was supposed to tape the first episode of the amazing race last night for my mother but it was on earlier than it used to be and I missed it, I'm currently downloading it off the net.
Better or worse than taping off free to air tv? She won't get the ads but she ignores or fast forwards through those anyway so I don't see any difference