Can someone advise on whether I should be concerned about downloading a virus after following incident

Hello,

I opened an email that I thought was from AOL, but I subsequently called AOL and the agent said it was a fake. I don't remember pressing any attachments or links, but later I found the following (below) in my download folder, in File Explorer. I pressed on it and it opened in Edge, yet nothing showed up on the computer screen. Below, however, is a screen shot of the URL that appeared upon opening.

Here is a screen shot of what was in the download folder:

Can anyone advise on what happened? I ran Microsoft Defender, full scan, and it said no viruses, and then I cleared out cookies from Edge. Is there something else I should do, especially since I've read that these HTML files, notable those with 0 KB of data, can contain viruses.

Thank you,

(moderator note: PII removed)

Moved from: Microsoft Security | Microsoft Defender | Other