I've been browsing around in the options/security and I found an "allow automatic links" option.
What exactly does this option do?

It does two things :

• When someone puts a link beginning with http:// in a message, chat, etc. the link is underlined, colored in blue, and becomes clickable with the mouse
• When navigating in the history with Page up/down, you can activate a link contained in the current line by pressing Ctrl+Enter

This option is disabled by default because you might activate an unwanted link, such as spam, virus, fishing, etc. posted on purpose by a bad guy out of our control. We don't want that to happen, of course.