In the Gmail, You are reading an e-mail and after clicking the link, you are receiving warning:

Suspicious link
This link leads to an untrusted site. Are you sure you want to proceed to ***
i think that the cause is probably that Gmail detected something bad in that e-mail, it may not be necessarily the link you are clicking, because Google may show this warning for ALL links in that e-mail no mater where it is linking.

To figure out if the problem is with the site, try to send yourself an e-mail or ask someone (different person than whose e-mail shown you warnings) to send you an e-mail like:

subject: test
body: test

and if "Suspicious link" message still appearing, then the issue is indeed probably with that link/website, so admin of that site should be notified and add such site into Google Webmaster tools to learn details why Google block it.