Video Walkthrough can be found here: Setup Microsoft Authenticator App

Steps:

1. Go to myaccount.microsoft.com
2. Click on UPDATE INFO under Security info.
   
3. Click on Add sign-in method
   
4. Click the drop down and select Authenticator app.
   
5. If you don’t have the Microsoft Authenticator app on your phone,
   • Click here for Android.
   • Click here for iOS. 
6. Click Next once you have the app installed on your phone.
   
7. From the Microsoft Authenticator app on your phone, allow notifications if prompted, then add an account.  Select “Work or School”
   
8. Use your phone to scan the QR code that appears on the screen.
   
9. On your Phone, Approve the notification from Microsoft Authenticator.
   
10. You’re all set and can now use the Microsoft Authenticator app for multifactor authentication.