1. Never click on such a link.
2. Use GAIM and Firefox/Mozilla to dodge the bullet.
Many of my 'buddies' are sending 'mass' IM's to everyone on their Buddy List. It says things like "...here's the pics i promised...". when you click on the link, it takes you to a web site that immediately wants to download a file called "pictures.com". if you know how to get rid of it, let me know.