You can check in your e-mail addresses, there it should show you if your friends are online or offline even if in your messenger addresses are offline. Or there is a program which must be installed,...

Yes, it's a good business cause you pay just once, when you buy this soft and not everytime you hear a new song.

As far as I know it is legal only if it's for personal use and not sharing with other people, only then it becomes illegal.

Hy,
Try Radiotracker, I use it for a while and it is very helpful as it can also download MP3 directly from radio stations. You should give it a try. ;)