Now, you can get an infection by clicking on a URL (link) that may send you to an outside webpage, which could be malicious. Then you could be infected, especially if you use Internet Exploder, but even through Firefox. This is almost identical to what is known as a “phishing attack.”
Facebook tightly controls it’s content in what is called a “walled garden“. That means that all the time-wasting games such as Farmville, etc, are “inside” the garden running through the Flash player plugin in your browser. This is in stark contrast to MySpace which allows 3rd party (outside) content to be injected through javascript ads.
Why is this important? It goes back to basic security principles which everyone should follow. If you don’t absolutely trust the site, email, etc, then don’t click the link.