Why not just run your mouse over the link and look at your status bar to see what you're about to click on?
I'd think by now we can all see what's junk in our e-mail and also what links are not safe to click on.
That would help when there would be only a couple of those message in a long time and if the only consequense of these messages would be a minor inconvenience. If you don't get rid of that user account very quickly you wake-up to find a couple of hundred of these messages all over your forum.
People get paid to open accounts on forums, these accounts are given to others that run 'post bots' that fully automatic sh*t all over your forum.
Besides that, when leaving those links up you also help these persons to achieve what they are after. Every external link helps to get a higher ranking in various search engines.