I received an SMS message from this number, supposedly from ANZ about a login that was detected, and if this was not done by me then to click on a link to "idprotect-australia.com".

This looks like a scam, especially because it is not the first such message I have received today, although it names a different organisation and shows as coming from a different Australian mobile telephone number. (But see the Wikipedia article on "SMS Spoofing".)

Instead of clicking on that link, use any major Internet search engine (such as Google or DuckDuckGo) to find genuine government and phone company links for how to identify and report scams, and also to find ways to check web site ownership without accessing the web site itself.

ICANN/whois lookup of the "idprotect-australia.com" domain does not give a meaningful owner name or contact address, and shows that it was created very recently ("2023-01-11 01:19:02 UTC"), both of which are also suspicious. The Internet domain registrant is in Hong Kong, which may indicate where this is really coming from.

A web search for "idprotect-australia.com" shows a British web site name, www.idprotect.co among the results (but this is a product for Canadian customers (only) and linking to www.idprotect.ca), and nothing similarly named in Australia.