Ban the users instantly, delete their posts, stay on top of it. It's like cancer, if you cut it out fast, it won't spread as fast, and if you make it very clear that you don't tolerate spam, it helps.
Make it harder for forum spammers to join up if it gets to be a real problem, don't allow anonymous posts for any reason, if it's a serious issue, use email verification for new user registration.
Anyone who posts spam is not a valuable member or user, there is no loss in dumping them without warning as far as I'm concerned, that depends on the forum though, and what type of users it attracts, spammers are very predictable, they are always the same, although there are one or two that are more clever than most, but they always give themselves away eventually.
Above all, delete the spam urls as fast as possible so they don't get any backlink credit for them. Using rel="nofollow" won't stop them, they don't read your forum, or its html, they just pop in, spam it, then move on to the next one.
Do not try to reason or talk to spammers, they are just these guys who get paid to build backlinks by forum spamming, if you annoy them, they might do something childish, whereas if you simply delete the posting as soon as it appears, they will move on to more fruitful forums, all they want is to make new backlinks to their client's site.
One idea I've played around with is adding a modification to the forum that will only allow urls to be posted in any form if the user has posted more than x number of times, but I've held off on that because sometimes a new user posts an interesting question that might actually depend on a link.
By the way, I have access to a large amount of cash in a bank in europe, I can't tell you which one, but I'm looking for some investors to fund a transfer fee and deposit security, I'll be able to pay at least 35% return on your investment, this is a totally risk free proposition, if I had the spare capital I'd of course just go in and fund it myself. Please sticky me if you are interested in a highly profitable business transaction of this nature.
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