Excerpt from a Microsoft Support's document (through Tristan, BoingBoing and many others)

" The most effective step that you can take to help protect yourself from malicious hyperlinks is not to click them. Rather, type the URL of your intended destination in the address bar yourself. By manually typing the URL in the address bar, you can verify the information that Internet Explorer uses to access the destination Web site. To do so, type the URL in the Address bar, and then press ENTER. "

Could be funny if it was not so pitiful...