That's correct; and you did well not clicking the link.
user2675345's recommendation is very good if you know what you are doing; judging by what you said, it seems that you are not so experienced in this, and thus the safest recommendation is simply not click the link at all.
However if your curiosity is too great, then I would recommend you firstly have a Virtual Machine running any operating system, and click the link from there. This way, if there really is an infection payload on the site, the biggest damage it could cause is to infect your VM: all you would have to do is delete the VM after. Plus, you get the benefit of having a VM ready for anytime you need to perform riskier actions; you would only need to go through the hassle of installing and setting it up once.
Here is how I would do it.
- Download VM Player or something similar.
- Have an OS to be installed
- Once you have the VM OS fully installed, make a copy of it and called 'Golden Copy' or 'Fresh Install', or 'Master', whatever. The idea is to always have this Master and using its copy to perform the risky action. So say you have Master and now a Copy1. Use Copy1 to click the link. See what happens, play about. Once you have finished with it, delete Copy1. The next time you need to do something you consider dangerous, create another copy from Master, say Copy2 and use that one now, and so on...
Make sure you never use these virtual machines for anything else that involves your personal details, example, don't login to sites that identify you.
I hope this helps.