Clicking a bad link?

[Percula]

I can't speak for the site you are asking about.

But yes, just a single click can end up resulting in your PC being compromised. Keeping your OS and applications up to date will help a lot.

[psionic storm]

Yes, even on reputable sites. Looking at a website involves a lot of technology in the background like Flash, javascript, activex. Theres a lot of ways someone can try to exploit these programs.

The first thing you should do is stop using Internet Explorer and use something like opera or firefox

[CORed]

I would also add that you should only use accounts with administrator privileges when you really need to, e.g. for installing/uninstalling software, etc. Use a non-administrator account for you day-to-day computer usage, especially surfing the web or reading email. This limits the damage that malicious (or accidentally damaging) software can do. If you run some bad code under an administrator account, it has complete access to your files and hardware.