No, I would never tell my friend that because I don't believe that it is either immoral or unethical to download music from a PTP network. If you believe that it is immoral or unethical then don't do it. I wouldn't say that downloading a song from a PTP network is illegal because I know of no statute or caselaw that definitely says that it is illegal so long as you are not sharing. (I will admit, though, that I consider a leech on a PTP network who doesn't share to be unethical.) But even if it is illegal it's up to the individual as to whether they let that stop them. Jaywalking is illegal too but I still do it.
There are over 6 million people logged on to a file sharing PTP network at any given time. As Microsoft recently advised the RIAA, there is no real way to stop this PTP filesharing. Any law that is virtually unenforcable and universally disregarded is more than likely a bad law.