I just finished helping a student get to our iTunes U podcast area. It was a Windows 7 laptop, runnng Internet Exploder. We got the iTunes U link to navigate correctly from Webcourses by clicking the security dialog boxes that Internet Exploder and Windows 7 throws at you.
Do not just willy nilly buzz through those security dialogue boxes. Bill Gates has it set up so that Windows 7 and Internet Exploder consider links to iTunes as "hostile." Yeah, maybe hostile to his bank account.
You can consider iTunes U to be safe, though.