A website prompts me to log in to my Microsoft Account. In order to perform my task, it requires me to enter that password.

Remind me: how does the "average user" avoid giving all their login details to a malicious website?

For example, I came across someone's personal website. I wish to download some music, but...

Can't download multiple files simultaneously despite following OneDrive's documentation

The first step of the instructions says: "on your OneDrive".

To download multiple files, you must be logged in to OneDrive with your Microsoft account.