You can learn a lot about a link before you trust it. None of these checks need special software.
Read the host
The host is the name after https:// and before the next slash. shop.example.com is not the same site as example.com. Extra words, a misspelt brand, or a string of random letters are reasons to stop.
On a urlBurp short link, the preview page shows that host before you continue. Use it. If the host is not the one you expected, do not continue.
Ignore the story around the link
The text message, the button label, and the page title can all say one thing while the address says another. Believe the host, not the caption.
Do not enter a password on a page you reached by surprise
A link cannot make a real site's password box appear on a different host. If you arrived from a link you did not expect, and the page asks you to sign in, close it and go to the site by typing the address yourself.
Report it here
If the short link is on urlBurp and it looks like phishing, malware, or spam, use Report this link on the preview page. Say what you saw. An admin can turn the link off.