This site is to download "download manager". It collects data from you and has many different ads. If you go through the install process, you can read about what it will do. You never need to install any program in order to download a file, it is just a way to get these spyware files on your computer. Unless you are downloading torrents, do not install any software in order to download a file. Go to another site to download the file.
As far as I can tell from searching their website and the web, there's no way to check where a j.gs URL leads to without actually visiting it (generating revenue for the user). That, of course, would make it very attractive for low-key spammers whose uncovering depends on determining the true nature of their link.
Yes this site is annoying but it is NOT malicious. It doesn't hurt your computer by infecting you with maleware. The site does what it is intended to do and that is give a little bit of money to the people who uploaded the links. It also offers a little bit of protection to the links by masking them, meaning they will last a little bit longer before getting deleted.
If you use Firefox and have "ad-blocker plus" installed you don't see the advert only the "skip ad" button.