The Line of Death is a web design term, which refers to the areas of your browser which can be controlled by the owner of the server. Bits of the browser belong to your computer, like the buttons to close the window, but a lot is under control of the site but can be manipulated to look like it belongs. Unfortunately, describing where the line falls turns out to be complex – follow that link for a visual guide.
I suppose part of the answer might be to go for a garish browser colour scheme, which a malicious website is unlikely to match. Certainly you have to be very careful what you click. Be careful out there!