check with the web site of the alleged sender and look for their security address. i.e if the email alleges to have come from barclays then go to the barclays website and follow the instructions given.
Some want you to copy the headers others want you to forward the email, it may differ from site to site.
Or have some 'fun' with the scammer, just paste the link into an anon browser window and leave some nice abusive comments instead of the requested information. whatever you type in the input boxes will be accepted