Make a "true" One Drive shared by multiple users

Question

At work, I have TWO (2) One Drives. My Personal and my Company. BOTH show up as "drives" or "folders" in File Explorer or when you use the OPEN dialog from an application (say Excel).

But I am the only one who has access to these One Drives. I need to set up a "One Drive" that works the same way (accessible via File Explorer and an application Open dialog) but can be accessed by multiple users (with different permissions).

I can "share" a subfolder of my drive, but this does not produce the desired result. The person I share with does not see this as an available folder in Explorer or an Open dialog. In fact, when they access what I shared with them, everything turns into something that you would see on SharePoint - all web based. Everything opens in the "Web" version of the associated app which does not work for our files as they contain macros, VBA code, links to other data sources, Power Pivot data models, etc. Need the desktop app for those to work properly, plus the user should not have to navigate through any web based one drive - need to treat it as any other folder just like I see on my own One Drive.

We have shared folders on our network that we can map to drives and grant different users different permissions to folders, but this doesn't work because now we no longer have the ability for multiple users to work in the same file at the same time and there is no version control on the network folders.

How can we set up a TRUE One Drive that can be accessed as described by multiple users?