It relates to what legal and illegal mean. Murder is defined as the unlawful killing of a human being. Laws are not defined by an individual's opinion, they are defined by legislation.Hrm... Wait, how does this relate to the death penalty topic... Aww **** it.
The death penalty might be immoral to someone (I am in this camp, myself), but that doesn't make it murder.
The key is that "murder" does not mean "the immoral killing of a human".