Protection against manual installation of malware software?

Hi all,
I am a newbee here even not an IT-newbee.

I just got a phone call from “Microsoft support” in USA by an indian speaking guy… one of these fake calls current happening very often with the intention to force me to install a backdoor/rootkit whatever malicious SW.

So, I played with them until they like me to type in at the run-field of Windows a command starting with “www.”
I am still not quite sure if Windows 10 supports the direct http access via the commandline but otherwise the attempt would not make any sense.
Nevertheless, here I stopped the risky game since I even was not sure if avast is checking this possible download by this way and will give me security.
Any download by http or https via a browser will be checked, that’s clear. But by access over the commandline ?

This is my question I want to launch here and hope that a specialist may have an answer.

Cheers
Arno

In all short, yes.

PS: Scammers usually don’t use infected tools. It’s still a scam, though…!!

The safest way to handle a Spam phone call is to hang up as quickly as possible.
Engaging them in conversation isn’t safe since many of them now record your conversation.
If they get enough information, they’ll use your own voice to make purchases.
Have fun disputing them when it comes to proving that you didn’t make them.
Hang up and end the scam.