Most likely the link in the email goes to an IP address or a link that isn't anywhere close to the domain, paypal.com. I think it's genious that people are doing this. There are so many stupid people out there to take advantage of. If you click that link and don't look at the address bar before entering your information, you DESERVE to be ripped off.

And for the record, clicking it does nothing, it's what you fill out on that page and then click submit that really screws you up. I usually fill out bogus stuff then click submit. It makes em mad i'm sure.