Dear respected RahmaniRahmat,
Good day! Thank you for posting to Microsoft Community. We are happy to help you.
As per your description, firstly may I know does the shared Excel database file via SharePoint online shared with your organization/same Office 365 tenant or shared by other organization?
Generally, if a business user shares a file with a business user: (within tenant/same organization), The business shared file will show up in the OneDrive for Business “shared with me” section, the business user can select the file and click on "Add Shortcut to my files" and the sync it.
However, when the shared file sends by outside of organization and in this scenario, when User A shares a file with User B who is outside of organization, then User B will receive an email with the link to access shared item and will not see the shared file in Shared view in his/her OneDrive library. And We only can access through outlook email link.
If the file shared by outside of organization, then I'm sorry and I'm afraid to say that. if the file is accessed through a shared link in SharePoint, it is not possible to directly sync it to your computer like a traditional OneDrive folder sync.
In such cases, instead of shared file link via SharePoint you may let owner use B2B Sync and outside sync shared files.
If there is any misunderstanding, I apologize and please feel free to post back to us with more detailed information for better understanding and guiding you further.
Appreciate your patience and understanding and thank you for your time and cooperation.
Sincerely,
Waqas Muhammad