Unless the web site is part of a registration to allow you to run a custom app, your hesitation might be well founded.
Configuration profiles are used for two main purposes:
- To allow you to load applications that are not approved on the Apple App Store.
- Restrict what you do on the phone just like parental controls can restrict a mac from doing certain things.
That profile contains a secure certificate that tells the iPhone to trust and run applications that are tagged by an enterprise developer for in-house development. This is really nice for companies to make a program that doesn't match what Apple wants to sell or provides more security than selling it to the general public. The second half can mean the enterprise can issue a remote wipe, enforce password lock restrictions, prevent you from installing apps, and many many more diverse settings. You can get documentation on these restrictions at the Apple Enterprise Site and by downloading the iPhone Configuration Utility for free and playing with it to create your own profiles. You have no way of knowing what's in the profile unless you download it to your computer and have a look using the Configuration Utility. You can make a profile that changes no settings and just allows special apps to load and run.
If you ever want to remove a profile and find it's locked you out, you can always restore your device in iTunes losing all the data and programs and the profile in one fell swoop.