There is the personal OneDrive. It is part of office 365 home edition.
There is Business SharePoint OneDrive, which is part of office 365 Business.
The two are not compatible and you will only get a Web shortcut if you share with someone on a different version.
If both sides are on the same version and you’ve only gotten an Internet shortcut the sending person needs to remove all permissions then take the folder out of the OneDrive. Wait till the receiving computer has the folder disappeared out of the online version under the shared section if they have shortcuts, they will need to delete them and remove them from the trashcan on both computers.
Reboot both computers, create the folder in the web version of Outlook with read right permissions to the computer it’s being shared to. On the receiving computer, it should be seen in the shared folder on the online version and you should be able to click on it to download. It will not show up until you reboot. The computer do not do it more than once just reboot, the computer and it will be an Internet explore in windows as a fault .
At this point, you can put back into the new folder the contents you want to share. All folders must be rewrite documents and other pieces can be read only if you accidentally change the folder to read. Only you will need to follow the steps above to fix it again. All folders must have read right permissions to be downloaded at the time of creation if you change it it breaks it and you have to start over.