yes they are illegal most in all over the world, beside you cannot stop people from buying them, that's what there money can afford, maybe before people can afford to pay for let say 100 riyals, but now a days as cost of living in every part of the world are very expensive, people are trying to be practical in other ways.

Maybe you can go to police station and complain about this shop. But after that do you think pirated dvd's will not come back? I've been into a shop selling me 10 riyals pirated dvd in secretive way but it is okey, because i want to watch a movie and don't like to watch in the cinema.

It might have a good progress if you complain in the police or what so ever, but they will come back, are you able to come back and let the store closed down again?

Think first before you act. No offense meaning.