Scanning url in emails

Hi we have been pretty clean since switching from the Sophos solution to SMG. However Sophos blocked emails with suspisous links where SMG doesn't seem to be able to. There are some infected hosts outside our network (mostly old customers of ours) which are spamming email addresses held in their users address book. The emails contain nothing but a URL to some dodgy sites. Basically how do I get the SMG to scan these URLs?

Thanks