INCIDENT - Setup OneDrive on the computer

On OneDrive Web, under the Shared tab, shared folders have been "added a shortcut to my files". 

All shared folders under My files tab will appear in File Explorer on your computer.

 Notice that they are just directories and have not been downloaded to your computer locally. See the "cloud" status.

If you use a folder frequently, right-click on this folder and select "Always keep on this device". Then they are saved to your computer locally. See the green hook status.