Hello Sumit,
Thank you for coming to the forum. My name is Fuad, and I'm happy to help you in the best way I can. Note, I am a user like you, this is a user forum and not Microsoft directly.
There is no way we can know if your mail or computer has been compromised or not. Remember, this is a user forum and we are users like you. Even if I am beside you, there is no way to know.
Mails like this are sometimes SPAM (because I have seen mails like this before), and I will advise you not to reply or click anything in such mails.
If someone has actually got your files, they will send you a sample of what they have, and not play on your guilt by saying, "you know exactly what I mean."
So do not engage.
For your safety: I will strongly recommend setting up two-factor authentication. It's an extra layer of security for your account. To enable it, just follow this link: https://go.microsoft.com/fwlink/?LinkId=529561. And if you want some step-by-step guidance, use this guide here: https://support.microsoft.com/help/33452159-6af9-438f-8f82-63ce94cf3d29.
Not just for your email, but for all your accounts outside Microsoft, your socials and others should have two-factor enabled.
If there is anything else on this subject you have a question on, do let me know. If not, have a wonderful rest of your day.
Best Regards Fuad