When I looked into this issue last, Prince's site was selling his material at a discount to members of his fan club, something on the order of $.77 per song vs. $.99 per song on iTunes or the like.
Meanwhile, over on allofmp3.com, the songs were going for around $.10
And while I can't say for sure that Prince hasn't given his consent to allofmp3.com selling his material, I think you'd have to agree with me that it seems highly unlikely, and that if that's the case, then allofmp3.com is harming prince by undercutting the prices he charges on his own site, and the ethical considerations are lost in the delight of getting something at a bargain basement price.