This came up a week or so ago and it seemed like noone had an answer I'm afraid. Googling it just brings up some stuff about MSN blocking links, nothing useful in terms of Adium.
How are you sending the links? Copy and pasting from the browser? Clicking on the browser icon in the chat window? Or going into Edit>Add Link?
Have you tried each way? Also, if you just type out the link does it still show the same error?