* When the song is in the public domain. This is the case for songs that are old enough that the copyright has expired. In most countries, this happens 50 to 100 years after the author's death.
* When you are making a fair use of the song. Fair use is a legal doctrine that allows limited use of copyrighted material without permission from the copyright holder. This can include things like using a small clip of a song in a review or commentary, or playing a song in a public place for educational purposes.
It is important to note that the legality of giving away a copy of a song can vary depending on the jurisdiction in which you live. Always consult with a lawyer if you are not sure whether or not it is legal to give away a copy of a particular song.