What is the meaning of licensed anime? does it mean that the anime is copyrighted so that people can't download it off the net or make copies out of it?

All anime is licensed, naturally. When people are talking about "licensed anime" on the internet however, they refer to anime that's been licensed by an American company and for that reason is illegal to download in any English speaking part of the world. In fact, it's always illegal to download anime, but Japanese companies often don't care about people downloading anime they wouldn't release outside Japan aniway.

Bleach still hasn't been licensed yet, right? Im not really a fan of the licensing system in America - it being too complex makes it difficult sometimes for games being released, etc.

Bleach, Air, Kanon, Full Moon, ... Lot's of anime hasn't been licenced in America! But angelic explained it all.