You're talking about a program that generates a fraudulent product key for some piece of software so that you can steal it?

Well, yes, they're illegal, at least in the United States. Since their sole purpose is to circumvent copyright protection, using them is a violation of 17 USC § 1201 (part of the Digital Millennium Copyright Act).

If you download from a site that has heavy traffic, you could get nailed. What happens is the U.S. courts have been able to go overseas even to subpoena the server log files. Many pirate sites won't allow American ISP to log on. So, it's up to you.