Set up multi-factor authentication for a user:

• Sign in to Azure portal as an Administrator

• Go to Azure Active Directory then users

• Select multi-factor authentication tab

• Enable “multi-factor auth status” for the desired user

More informations can be found here: https://docs.microsoft.com/en-us/azure/active-directory/authentication/howto-mfa-userstates

Set up your account on Microsoft Authenticator:

• Download and install the app on your phone: https://www.microsoft.com/en-us/account/authenticator

• Go to additional security verification.https://aka.ms/mfasetup

• Select mobile app, choose your desired method and set up

More informations can be found here: https://docs.microsoft.com/en-us/azure/active-directory/user-help/user-help-auth-app-add-work-school-account