Earlier quoted context omitted.
From this and other comments in this thread it seems you have failed these phishing tests as soon as you click a link. Is the assumption here that you are completely pwned as soon as you visit an url controlled by an attacker? I can't imagine myself compromising company data/funds via a website where I ended up through a newsletter unsubscribe link so this seems quite unfair on the part of the phish-testers.
This is exactly the case. If you click on a link in the fake phishing email you've failed the test. It does not require you to install anything, open an attachment, etc.
Just starting your web-browser would exécuté some Java vuln and scareware you.