Re: LibreOffice 3.5: This document contains one or more links to external data
This is a very common issue and nothing that should alarm you to the point of reformatting your computer. In most cases, it is because you are opening a MS Word document that has fields linking it to another document or spreadsheet. It can even be as simple as a date and time, or an address database from Outlook. In Windows, people drop those sorts of links into their documents without giving them a second thought. Such links are even built into some default templates. When those same docs are opened by LibreOffice, it either cannot find the external links or wants authorization to, say, update the date/time, so asks you for your permission.
When it comes to security, it is not possible to give you a reassurance that you are 100% safe. There is always a risk no matter how unlikely. However in this case, I would say that your risk is very small indeed.
I receive docs from Windows users all the time that raise the same alerts. It is irritating and bothersome, not least because most Windows users are so oblivious to the number of links, scripts, macros and remote procedure calls that are embedded in their docs that they really have no clue about how exposed to risk they are.
To answer your last question: so long as your friends send you Windows documents with linked fields like time and date, addresses, etc there is nothing you can do to get rid of these alerts. However, you can answer "no", which in my experience usually does little harm to either the readability or the contents of the document.
Newb: How far must I jump to clear the ledge halfway down?
Guru: It's bad to jump off cliffs. Let's look at better options.
Newb: Stop harping about "best practices" and just let me jump.