Somebody posted a phishing link on my steam profile :/

If the beginning of the URL is a legit URL that you posted in then it isn't a phishing link and Kaspersky is just uptight, if you never posted there then it is most likely an actual phishing URL.

This IS a malware URL, it leads to a SCR file. If you did NOT click it, you are safe and you shouldn't panic.
I suggest you remove it so nobody of your friends clicks on it. I guess Steam Support can access it even if removed, but I'm not sure of that.
Edit: if you did click, download and execute the SCR file, you can have a virus problem now. In any other case, you should be safe.

I downloaded one of those with my old laptop and scanned it with VirusTotal. Here is the result. Do not execute it or you will be infected. I scanned my laptop with malwarebytes and other stuff and it got nothing. So I guess if you accidentally clicked it, it's fine. Just don't execute it.

Nyugi, amíg nem nyitottad meg az oldalt és nem töltötted le az scr fájlt, addig nincs gond :)

Should this happen again, take a screenshot of your profile page with the link on it (along with a cursor hover), and another screenshot of what Kaspersky says about it. That should be enough information for Valve (if they even need it) and will give you the freedom to delete the comment. If, for some reason, you feel the need to leave the comment up for a while, put a warning right above it so nobody clicks on it.

Screenshot the post and mark down the guy if you haven't already.

Report, go to steam support.