i would definitely report the sender to your provider. They are clearly up to no good somehow or other.
Using your email to send messages that you have no control over is one of the things that spammers do. They get more messages sent out, and the messages are not traceable back to them, but to you. On this occasion they may not be really doing that, just trying to panic you into following a link so that they can hook in and get started, but there is always a risk that they have found a way into your account.
Your provider can check up, and also keep an eye on them in the future.