A designer has designed a web app and shared the link with me, when I click it, I view it in a browser, but I really want that app experience, I want to view it in my own Adobe Xd windows app. surely there's a way this can be done?
If you want to view/edit the XD document within XD, they must invite you to the XD Cloud document. They created a share link, which is for sharing with people who do not have XD. Tell them that you have XD and would like to be invited to the document. You can learn more about that here https://helpx.adobe.com/xd/user-guide.html/xd/help/collaborate-coedit-designs.ug.html
the link takes us to a browser view which is exactly what I dont want. it's not a live preview as it's buried in the browser...
If you want to view a file in the Adobe XD mobile app (instead of a web browser), save the XD file as a cloud document. Cloud files can be viewed in the XD mobile app (and shared with others for them to view there as well). If you're looking to do something else, please explain more in detail what you're looking for so we can better understand and advise you.