It's the PS2 that you have to download the bios from the console, and iirc it's done through the usb port...
and usually, the people selling consoles loaded with games have licensing agreements or bought the distribution rights for cheap because they're super old games. If you don't have the licenses or distro rights, it's illegal... not criminal, since copyright violations are civil violations, but still illegal in the USA.
Disclosure: I AM NOT A LAWYER >.>