These guys are downloading music in front of the SGAE, a copyrights collector, sort of like the RIAA in the States. In the sign you can read: "We are downloading music here"
It turns out they did that to demostrate that nobody was going to prevent them from doing it, because it's not ilegal according to them. Before the "protest", they called the police and the security of the SGAE to inform them of their, but still, nobody interrupted them.
They downloaded a song by the president of the SGAE: it turns out the guy's a musician.
Funny piece of news you may read (in Spanish) at