What if the song isn't available in my country? ex. Bright Lights?

Am I just not allowed to hear that music then? I understand some labels are very strict about piracy and things, but other artists just want to spread their music so I don't see how that's fair.
Also, how would they even arrest so many people? There's over a million illegal downloads in America every day. There's no plausible way I can see this being enforced.