This trick works on Firefox, Opera and Google Chrome.
The SmartScreen Filter is a protection used by Microsoft Internet Explorer and Windows Live (Messenger, Mail).
The goal is to remind you to be careful about what you're doing?
Under Internet Explorer, this filter is deactivated, but not Windows Live (Messenger, Mail).
Some people need this filter, for safety, but for most people, it can be a pain having to click "Continue" to open each link in Messenger.
To disable it:
You will need the Greasemonkey extension.
Install Greasemonkey and restart your favorite browser.
Now we can make use of the following script (the browser Opera, and Chrome can use the script): Remove *SmartScreen for Live Messenger 2011. Clicking on this link opens a small window .... click on the "Add" button and it's done.