Actually there are ways of telling who and what is on the network, however you will most likely not see it in a home or small network system. One thing you need to think about is why are you doing it. There are laws about getting into a network. These laws are federal and if you are downloading massive amounts you will be eventually found out. Trust me I know. If you are on a wireless system at home, use this post as a warning to turn on the encryption and change the ssid. If you are using a older wireless system, get the newer ones.
I do not want to get into a discusion about the ethics of stealing, but if you know it is wrong, why ask?