Using the New Outlook for Mac features in business environments
Windows uses a feature called "Share" or rich clipboard formatting to turn copied links into clean titles with preview icons automatically. AFAIK, macOS handles clipboards differently and does not have one system-wide switch to turn this on for every single app. Instead, it leaves it up to each individual application to decide how a pasted web link should look.
If you are writing an email in Apple Mail or taking notes in Apple Notes, you should be able to get this visual style by pressing the Spacebar or the Return key right after the link. The app should look up the website and turn the web address into a preview box that shows the site title and a small picture or icon.
For other apps like Microsoft Word, Google Docs, or Slack, you should be able to use the built-in smart link tools. When you copy a link from your browser address bar and paste it into these programs, a small menu will pop up next to your text. Clicking that menu lets you change the long URL into a title. You can also highlight any word, press the Command and K keys together, and paste the link to hide the long web address inside that word.
If you want a file on your desktop that looks like a Windows internet shortcut, you can drag the link directly out of your browser. Click on the tiny icon or lock symbol next to the web address in Safari or Chrome, and drag it right onto your desktop.
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hth
Marcin