Is there any loss of traffic/income for an affiliate site that has a warning page?

I'm designing my sites (affiliate) with warning pages with the warning page as index.html. Then a link on that page to the actual blog, so the URLs might look like this:
warning page: MySite.com
homepage of actual site/blog: MySite.com/ms

Is this how it's done, or a bad idea for SEO? I would think that SE's should count the homepage of the blog most of all. Or should the warning page have some kind of code that makes the SE spiders skip it and go right to the homepage? If so, how?