Hello,
Please do not open these files. It appears scammers have found a product loophole to share files with users knowing the files would show up on their OneDrive.
As of now, there's no way to delete this. You will see this file in your ONedrive.com when you go online in the "Shared" section, but you can check the box, the right click and report it. You can also hide it.
The file technically doesn't live in your OneDrive, but lives in the sender's OneDrive. It doesn't take up your OneDrive storage. It is just listed for you to see, but like I said, hide it and report it. And also consider sending this as a feedback for the product team to make them aware. https://feedbackportal.microsoft.com/feedback