MarioFanaticXV: There is no question that you can do such with physical copies. Licenses are not legally binding, and would not be considered a violation of copyright. Copying the entire game, however, would be considered illegal. Although, in a truly fair world, copyright law wouldn't even exist, but that requires far too much detail to go into in this topic, so let's save that discussion for another time, to avoid hijacking the thread.
So licenses are not legally binding when one is dealing with a physical copy but they are legally binding when one is dealing with an electronic copy? What a novel approach.
I assume by illegal you mean unlawful. I can't speak for your jurisdiction, but in Australia I am not aware of any decisions declaring software licenses to be unlawful. There have been a number of decisions that have dealt with software licenses but the comments in relation to their lawfulness are, generally speaking, obiter.