Its been strongly advised to e-mail users for some time not to click on any links that say 'click here to remove' when sent spam, as these links will not generally remove you from a spam mailing list. More likely, they will alert any interested parties that there is in fact a human being reading the garbage. So clicking these links was never recommended - it generally invited more spam as opposed to helping you to cut it down.
But a new junk mail message that could be on its way to a mailbox near you goes one over on this. Selecting the 'click here to remove' link on messages blocked by MessageLabs today triggers an attempt to load malicious code onto potentially vulnerable Windows PCs. Now that is nasty. You will want to read more about this, here.