First: Remove that link. It violates SG rules (no calling out, and maybe some people try to use that link)
Second: Don't click it. It takes you to a page similar to Steamcommunity, but you have to Login. That's how they get your information.
Third: Just delete, block and report that user.
EDIT: If he is a bot ( which is the most likely, since he didn't respond to messages), delete, block and report him. If he is a human, then you can trick him: Say: "I will click that link, if you trade something with me from your inventory". After the trade, just delete, block and report him :D
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