Mario downloads music and he wants to know if he'll get sued or arrested for it. Leo says that when he's sharing or downloading, law enforcement doesn't know who he actually is because it's all based on IP addresses. Both the recording industry (RIAA) and the movie industry (MPAA) often have phoney torrents in order to find out what IP addresses are downloading them. Then they have to find out who owns that IP address from the ISP.
In the US, ISPs have agreed to a "six strikes" rule, so if a user gets caught, they get warned several times. Then after six strikes, the ISP could cut them off. That's realistically the worst thing that'll happen. The ISP could give over Mario's information to the RIAA and MPAA, though. Then there is a possibility that he could get sued. But he won't get arrested.
There's really no reason to steal music anymore. For $10 a month, Mario could get access to all of the music he'd want from a wide variety of sources. So Leo suggests just paying for it. If the industry makes it easy and fair to do so, people will get it the legal way.