Copyright is a sticky thing. Some people violate copyright law without realizing it. Some people violate it blatantly. And other people just don't understand it well enough.
Anything that is an original creation by an individual is called intellectual property. If you write a song down on a napkin in a bar, that becomes your intellectual property. It can be protected from being copied, re-arranged or performed by anyone else unless you give your express consent (or you sell these rights to a publisher.) And the copyright protection is instant. The moment the song is fixed in a tangible form (written down, recorded, etc.) it is subject to copyright protection. Whether this will hold up in a court dispute depends on whether or not the work is registered. Ideas, chord progressions, methods, or systems can not be protected by copyright. Names and logos can not be copyright protected, they need to be trademarked, which is different.
There are a few different parts to copyright law. There is the copyright law that we are most familiar with: photocopying music or copying CDs. There is also the copyright protection that we are less familiar with: playing someone else's music in a public space, whether live or over a PA system. If the music is being performed live, like a cover band in a bar, the venue (the bar) is responsible for paying performance rights to the two main performer's rights organizations: ASCAP, BMI (and SESAC, to a lesser extant). These are yearly fees that the venue must pay in order to have music (even jukeboxes).
Sheet music can be tricky. Photocopying a song out of a book that you have not paid for is illegal. There is some wiggle room with this, but it is slippery, so be careful. There is a part of the law that allows for fair use, which allows copies for educational, research, or personal use. A lot of this depends on how much of the work is copied, why it is copied, and whether or not the copy will have an effect on the sales or marketability of the original work. Photocopying a page of your solo to avoid a bad page turn is okay; photocopying the entire solo from the library and playing that in a public performance is not.
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