You cannot avoid it, that's part of the PDF security system to make the user aware that he is entering non-trusted area, as it is with every web page when it is opened the first time in Reader or Acrobat on this computer. ThatÄs an unchageable fact. You have to live with it.
Thanks for your reply. If the link is to my own website can I make it a trusted area?
It's not whether you trust the domain, it's their decision.