Yeah, and no money goes to organized crime when people download music illegally. Plenty of things are illegal- does it stop you from doing all of them? Crack is illegal and dangerous, yet plenty of people find lots of ways to get it.
Look at the War on Drugs. It's a complete failure. Millions are going to lock up potheads and stop people from growing weed in their closets, while hard drug smugglers and organized crime just bribe a few officials and get their wares through. You think it would be any different with guns? All that would happen if we banned guns from private citizens would be the crime rate would skyrocket and organized crime would get ridiculous kinds of rich.
Also, according to the Supreme Court, the job of the police is to uphold the law, not to protect YOU.