You should only install scripts from sources that you trust. Unfortunately, the Greasemonkey installation window does not show the source URL of the script to be installed. It is often possible to cancel and to go back and check the link target. But in other cases the link is not obvious, such as for the common JavaScript?-operated links or automatic updates triggered by a Greasemonkey script itself (e.g. the MediaWiki? editor wikEd).
Therefore, I suggest to always show the full installation URL in the installation popup.