The on-access scan on most anti-virus applications will do this already. It will not block the website from loading, but it will detect and quarantine or delete the virus. When it gives you a notification of the virus, you should close the website.
As stated above, anti-virus programs may include anti-phishing features.
Also, there are some stand-alone anti-phishing tools like <a href=”http://www.comodo.com/home/internet-security/verification-engine.php”>Comodo’s VerificationEngine</a> (free) that could help in this matter. However, I don’t know of any anti-phishing software that will remove suspicious links. Most of them will add some functionality to the browser to warn you or even block some sites when you navigate to them.
An effective security solution would not necessarily care the location of the actual link (Facebook in your example) but instead the destination. Of course, the key thing here is that for sites such as phishing sites that are very short-lived, they are never going to make it into a web filtering database. They will likely disappear before any vendor categorizes the site as malicious and updates their list.
A solution, such as ScanSafe, that is focused on content analysis (rather than just using a URL database or AV) and has capabilities to dynamically categorize these short-lived websites based on content on the site could be the best answer for you.
Disclosure: I work for ScanSafe. Please feel free to contact me if you have any other questions or would like more info on our solution.