This article describes how to view files that have been shared with you using the OneDrive local client on a Windows PC or Mac.
To view files Shared with Me on the local OneDrive Client(in File Explorer) items must be in a shared folder. Individual Files cannot be synced to be viewed on the local client.
...
Once you have selected the Shared folder at the top you will see the Add shortcut to My files option. 
Once you select Select Add shortcut to My files and the folder will be shown in the My files folder. See below, the blue link icon at the bottom of the folder notes that the item is a shortcut from your Shared folder.
...
When opening your file explorer to view OneDrive through the desktop app you will now see the Shared folders marked with shortcut icon.
