Do you really know what web site you are going to when you click on that link? Are you sure? When searching for information on the Internet, do you really know if that's a reputable website?
It's very easy to disguise a malicious website that hosts viruses, spyware, keystroke loggers and other malicious software behind what appears to be a legitimate web link.
For example: http://www.hawaii.edu - Does it really take you to the University of Hawaii's web site? To ensure that you don't go somewhere unintended, always "copy and paste" the link into a new browser window.
Other suggestions for "safe browsing" is to check the validity of a website before navigating to it. The newer versions of browsers include features that will notify you if a website is "suspect". You should check your browser's settings to ensure that this vailidation is performed. Addtionally, use web validation sites such as: http://safeweb.norton.com and type in (or copy and paste) the link that you want to check.
Here's a sample screen shot of what is returned: