A Microsoft file hosting and synchronization service.
Hello,
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. As of today, you cannot delete it, but you can hide it/remove it from the list.
On your iphone for example, go to the Shared tab, click on the Shared tab, click on the three dots next to the file and choose "remove from shared list".