It is illegal to upload movies to filehosts (I assume you mean that) but indexing links on your site is not illegal. Just host it in Hong Kong or something where the copyright laws aren't so strict. Then the worst that can happen is that copyright owners will contact you to take down the links on your website. I'd suggest not ignoring them but meh, it's pretty hard to do anything against a indexing site anyway. At least saves you from troubles though.
Also be sure to put a disclaimer that states that all the files posted on your website are indexed from another filehosts. This way the copyright owners will most likely contact the filehosts for take-down messages instead.
wad do you mean by indexing links on my site?