Actually, the emails are faked with html so that they look like the reply to address is one thing, but the real address it goes to is another.
The links to the sites in this type of email can be links to the genuine site or they can be faked links to phishing sites.
If you go to the genuine site from your own list of favorites or by typing in the address of the site, you'll be safe.
Just never click on a spammer's link.
If you can set up your email program to not even display images, that would be best, because then the "invisible" web bugs that the spammer writes into his spam won't "phone home" and confirm that your email address is a live one.
Having good anti-virus and internet security can protect you from most of the stuff that's out there, so if your anti-v is up to date and your security settings are high enough, you really don't have to worry - just be aware. :)