Downloading Windows XP for free from unofficial sources is generally illegal because it is proprietary software owned by Microsoft. Only legitimate licenses (e.g., original CDs with valid product keys) are legal to use. Microsoft does not offer free legal downloads of Windows XP, except possibly for certain archival or developer purposes (e.g., virtual machines on modern Windows via Hyper-V, though these are time-limited).
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(support ended in April 2014). Using it today poses serious security risks, as no new security updates are released. It is vulnerable to malware, viruses, and exploits. Downloading Windows XP for free from unofficial sources