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The links in the mails go to various places, including a blogspot blog (see screenshot below). Of course, clicking the link earns you an unpleasant dose of malware.
Facebook, to give credit where due, is becoming increasingly proficient at stomping out such scams: the last one to cause issues was around two months ago.
What To Do
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If you receive one of these Facebook mails, simply delete it - one of your friends is infected but not you. If you find, however, that your account is sending the mails:
1. As a precaution, go to your browser settings and clear your cookies.
2. Change your Facebook password