How to deal with sick colleague?

Long story short, my colleague (who I report to directly and sit right next to them) is unwell with a flu. They took a day off on Friday due to being so sick, and for getting a lot of looks on Thursday for coughing and sneezing around the office.

Anyway, my colleague has come in today and won’t stop coughing, sneezing, blowing their nose and leaving their dirty tissues all over their desk… like seriously come on.

What’s worse is whilst they cough their lungs out, they go on to say “oh sorry I’m still sick, just keep away from me today”. I’m sorry, but shouldn’t you be the one keeping away from us???

So my question is what do you do in this situation? Do I speak to this colleague directly or do I reach out to HR? I guess the reason I’m even more annoyed is my wife is pregnant and the last thing I need to do is bring illness hope and risk getting her sick right now…

Anyway rant over, keen for your thoughts!