Follow the link
The World Wide Web functions through links. By clicking on a link (usually in blue and underlined) your browser will open a new page from the website to which the link took you. This is great stuff and one of the many factors that has made the Web so popular as this is easy to use.
Why is this an issue?
Because some links are not there to help you but to take advantage of you in many diferent ways, ranging from taking you to fake web pages that resemble the real thing, to take you to genuine web pages where the content may be doubtful (quality, intent, potential infection).
What you should do about it
When you are dealing with a legitimate and reputable organization (a government department, electronic commerce, academia, etc.), there should be reasonable confidence that there is little risk and using the links in their pages should be safe enough.
When the link has been sent to you in an e-mail, the decision whether or not to follow it by clicking on it, should reflect your knowledge of the sender and the confidence you place on their communications. For example, several electronic commerce sites regularly send the author mails with links announcing new releases or new products. These links can be assumed to be right and proper.
Check and think before clicking and rely on your intuition, experience and antivirus software to confirm you are doing the right thing.