How about the following message poping up like mIRC does...?
quote:
Originally posted by Message
You are about to visit the following link:
<link>
That link might be unsafe.
Messenger Plus! takes no responsibility with what might happpen with your computer if you visit the link.
Do you want to vist that link?
[ ] Do not show this message again.
[ Yes ] [ No ]
The [ ] would be a checkbox...
Also, how about a tooltip of the link when you leave your mouse on the link for a few seconds?
Or maybe where it says "Last message received on xx/xx/xx" or "User is typing a message" being replaced with the link when you put your mouse on the link?
/ 
