You can disable the links by just deleting the files for the windows that have links.
And yes, there are ads that do that. The ads are not directly controlled by sites like EQ2i or probably even Zam, but instead served by an ad network. Malicious ones that like sneak in unfortunately, and as you've said the in-game browser lacks the ability to make yourself safe like you can with full browsers.
The ads usually get pulled relatively fast, but at least in the case of EQ2i you can avoid most of the ads anyway.
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