I researched a bit. Turns out, your ISP has a cache proxy which serves content to you. Now, ISPs aren't stupid. They know that when they use a cache proxy to serve content to you, they are hiding your IP address to the site they are serving.
So, when you browse any website, you request it from your ISP, the ISP fetches it for you, and returns it to you. By caching it, they can serve you the website faster.
I created a graphic which should show you a simplified version of that principle.
But, when you browse a legal grey-area website like Rapidshare or Megaupload, they don't want you to fetch content over their cache. This is why they directly connect you to it:
This is so that your IP is directly exposed to those websites, since the ISP doesn't want to be involved. So basically, this message only informs you that you're now being redirected.