No! It’s a very bad idea. Please do NOT ever click a link in a direct message. Chances are that it is either a virus, spam, or an autoresponder. Some of these messages are very tempting. They say things like: “Hey, is this you in this video?” or “You won’t believe what this person said about you!” or “I laughed when I saw this pic of you.” Although your instincts tell you to click the links to investigate, do not! In most cases, the people sending the messages do not even know that they sent them. The message is a Twitter virus. And by clicking the link, you will contract the same virus and unknowingly send out the very same direct message to your followers. Twitter will then suspend your account (temporarily, most likely).
Links in regular tweets are usually safer (but not always). Use common sense when clicking links in regular tweets or in @mentions.