I don't think it does. I've looked at the source code and all it does is add the entry, including a 1px x 1px image (probably so the maker can track how many people are falling for it with the referrer logs). The guy also has his personal page on the same server, which a malicious hacker wouldn't do.

But yeah, definitely be careful. There are a few variations on this using text links now, so be careful what you click.