From only the information in your post the answer is Yes. It's called receiving stolen property because the 'pirated DVD' is an intellectual property that has been 'stolen'.
Of course, if you had asked "Is it illegal to buy a DVD and later find out it was pirated?" then you wouldn't have admitted to knowledge before the fact and you could have stated mitigating circumstances.
Either way, stay away from this issue. Jack Valente has a lot of power with Congress and he has made a point of going after the little guy so the market for pirates dries up. Is a fine of $10,000 and up to 10 years in jail worth saving $19.95?
That's up to you.
