Is it Haram to copy an Islamic CD if they specified not to do that in the beginning of CD? We are in a European country and it is difficult to get the original.

Praise be to Allah, the Lord of the World; and may His blessings and peace be upon our Prophet Muhammad and upon all his Family and Companions.

There is disagreement among contemporary Muslim scholars concerning copying CDs that whose rights are reserved by their owners.
First, some scholars do not legalize copying CDs. And this is the opinion of the permanent committee for Fatwa in Saudi Arabia. Their answer is as follows:
'It is not permissible to copy these CDs without permission of owners. The Prophet (Sallallahu Alaihi wa Sallam) said: "Muslims are required to honor conditions that they have agreed upon" . Abu Dawood and al-Saiyouti regards this Hadith as sound.
Another Hadith reads: "A Muslim's property does not become Halal without his consent" [ al-Tirmizi who said good and sound].
A third Hadith reads: "Whoever antecedes (others) to something Halal, he becomes more entitled to possess it" [ Abu Dawood , al-Maqdisi regards it sound].
There is no difference on this ruling whether an owner is a Muslim or non-Muslim.
If the owner states that copying for benefit is not allowed, this means it is permitted to have some special copy for private use. But, if he does not give any permission, then it is Haram to copy by any means and ways.
Second, some scholars believe that it is Halal to copy these CDs as long as for private (not trade) use, especially for students who need these CDs and do not find the original copy or even the money to buy them.
However, the safest position for a Muslim is to avoid buying or using copied CDs, nor to copy them.
If it becomes difficult to find the original copies, then there is no harm to buy copied ones, provided that does not lead one to vow falsely.
Allah knows best.