I use a Mac and landed on a screen like that and by clicking on the Red Exit it actually tried to launch the program and I had to do a hard shut down to clear the screen...
I use firefox, and it shows the URL of the link when you hover the mouse over it.
I've gotten into the habit of just hovering over every link I'm about to click on just to examine the link before I click on anything.
It's saved me from several decent-looking scams in the past. :)