It's not complicated, but would take a little work. 
Have add a new field(checkbox) in the settngs to "Display Warning" and store it in the module settings.
If Display Warning is set, then redicrect a URL link to a new ascx page (warning.ascx) which pulls up and displays the URL and the "external content" warning.

It could also be done where a flag is set to 'display warning' (dspwar) in the querystring, and it would, instead of passing through, display an ascx with the warning with the link that just doesn't have the dspwar flag, so it goes through when clicked on.

So a couple of ways it can be done, one is a module modification, the other a core modification, guess which one is better for you to do. :)

Various other minor details are sure to abound, but over all, not to terrible, I'd think.