First of all, morality and the law are 2 separate things. During the Cold War the USSR used to be able to take whatever they wanted ( "steal" ) from American writers , films, etc, because there was no trade agreement with the US. Sometimes what Russia did was morally wrong because they were blatantly ripping of other artists intellectual property. Other times there was really no alternative, because they couldn't pay or acknowledge the artist even if they wanted to.
ANSWER: I don't know what the agreement is between the US and Egypt. Here in the US ( its the same for the UK and Canada) recording or copying music and films, etc., for your own personal use is absolutely morally ok, since you are not harming the artist or their work or causing them to lose money. It is also legal to record things for personal use ( just do NOT post it on YouTube or a torrent site, or give it away to people for example).