Google and other services are using a blacklist to detect malicious websites. If your target website is "clean", you will merely be informed that you're about to leave GMX.
If the target website is suspicious, you will be redirected to a warning page instead.
Malicious websites usually attempt to steal sensitive data by posing for a well-known company (e.g. your bank), or try to trick you into downloading harmful software like viruses or spyware.
This website is attempting to trick you into giving away sensitive data like credit card, social security number, or online credentials. See Social Engineering (Phishing and Deceptive Sites).
The website is suspected to contain malicious software like viruses, browser security exploits, or a combination thereof.
The website will try to make you install software that slows down your computer and changes the browser's look & feel. See Unwanted Software Policy.
The website might attempt to trick you into downloading malicious smartphone apps that spy on sensitive data.
Yes. Copy the address into your browser's address bar and hit return. Obviously, do this only if you know what you're doing.