Be default the Microsoft Authenticator app os used. To continue with this method click next.
You can also click "I want to use a different app" to use and alternative authenticator such as Google Authticator, Lastpass Authticator, or Authy. Just following the instructions to add to your app.
If you want a text to your phone, click "I want to set up a different method" at the bottom and click next.
These instructions will assume you're using the Microsoft Authenticator app.
Make sure to allow notifications if prompted. Then click the + icon top right to add a new account.