The ideal here would be progressive disclosure: only show the user functionality that they actually have access to. Then they don't feel ripped off by content they can't access because they never see it. (Even if they know it's there, it'll hurt their feelings less if it's not shown off.)
But in cases where content is frequently linked to directly, you can't really stop people from trying to navigate to the page. And when they get there, you have to show them something. I'd recommend:
- confirmation of the region that's been detected, and a link to troubleshooting steps if it's not what the user expects
- an on-page explanation of why the the content is blocked in that country
- If you were really feeling zesty, you could provide a link for users to contact their government's officials to complain about their local legal restrictions (if relevant).
- suggestions for alternative content (preferably matched by some kind of similarity engine) that is available in the detected region
The goal of these recommendations would be to anticipate users' needs contextual to your inability to show content. If a user sees a blocked-content page, what tasks will they want to accomplish in response? That's the functionality you should strive to provide.
And please, no click here links. That's a bit 1996, don't you think?