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

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.