The link below looks and feels like a link to Microsoft.
Even when you are on top of it with the mouse cursor, the status bar will show, even on a fully patched WinXP SP2.
Actually, it is a link to
Demonstration of exploit written by Paz Itzhaki-Weinberger, October 2004

Malicious websites or malicious email creators can use such a page to create innocent links users will trust, although they will lead to a malicious webpage.

Conclusion? BEWARE! do not click any link from unknown origins, even if it looks okay to you!