Perhaps, as you'd expect, it depends on what we mean.
One scenario: the artist used the profits from his musical career to underwrite drug dealing and prostitution. In that case, you're supporting drugs and pimping at least in the sense that you're helping to provide the cash that keeps it running.
Another scenario: the artist isn't dealing drugs and pimping, but his fame and the reach of his CD sales helps him encourage others to do what he used to do. In that case, your money is still supporting criminal activities, though quite a bit less directly.
I'm guessing the most likely scenario is this: far as you know, he isn't still carrying on any criminal enterprises. Far as you, he probably does mean to glorify those things, and far as you know, he probably does have at least some marginal success in encouraging others to do the things he used to do. In other words, even if he's no longer an active criminal, there's something unsavory here, and the more successful he is financially, the more that's so. But I'm also guessing that you just like his music and aren't interested in promoting drugs or pimping. Where does that leave you?
Nowhere particularly clear. On the one hand, most of us spend money that supports businesses whose practices may be undesirable even if not criminal, and many of us even know some specific cases. Corporation X sells a product I want, but contributes to causes I deplore, or engages in labor or environmental or business practices that I oppose. These days, purity isn't easy to come by. A few years ago, for better or worse, the town where I live declared itself a "nuclear free zone," meaning that they wouldn't do business with any company that had a stake in the nuclear industry. Turned out this was almost impossible to pull off without tying themselves in knots.
But there is a difference. I may buy something from a company whose practices I don't like. But when I do, I may be doing it with my nose held, so to speak -- in spite of what I don't like about them. I'm not vicariously indulging in their vices. That's where the music case seems a little different. The connections among the artist, the message and what the consumer expresses by supporting the artist seem tighter and more intimate. If someone spouts whole-heartedly misogynist lyrics, the excuse that I'm buying their records just because I like the music is a bit malodorous. Hiving off the obnoxious content from everything else and putting it in a box might be possible, but I have a feeling I'd suspect myself of bad faith.
Here's a case. Suppose that I stumbled across some artist whose language I didn't even speak. I start buying hisCDs, and then a friend who knows the language points out that what he's singing amounts to Nazi propaganda. I don't think I'd feel good about where my money went, and I don't think I'd want to put any more in the artist's coffers.
So: buying this artist's CDs isn't the worst thing you could do. But it doesn't seem entirely pure and innocent either. And the less incidental the glorification of crime to the music, the harder it is to claim that you've stayed on the unsullied side.