Although using SMS for 2FA (2 Factor Authentication) is simple to setup, it is the least secure method. Using an Authenticator app is both more secure and quicker.
To set up the Microsoft Authenticator app
This is an abridged version of Microsoft's guide which can be found at https://docs.microsoft.com/en-us/azure/active-directory/user-help/security-info-setup-auth-app
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Go to https://myaccount.microsoft.com/ and sign in if requested.
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Select Security info in the left menu or by using the link in the Security info pane. If you have already registered, you'll be prompted for two-factor verification. Then, select Add method in the Security info pane.
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On the Add a method page, select Authenticator app from the drop-down list, and then select Add.
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On the Start by getting the app page, select Download now to download and install the Microsoft Authenticator app on your mobile device, and then select Next.
You may also download the app to your phone from the App Store (Apple) or Google Play (Android).
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Remain on the Set up your account page while you set up the Microsoft Authenticator app on your mobile device.
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Open the Microsoft Authenticator app, select to allow notifications (if prompted), select Add account from the Customize and control icon on the upper-right, and then select Work or school account.
Allow the App to access your camera if asked.
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Return to the Set up your account page on your computer, and select Next.
The Scan the QR code page appears.
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Scan the QR code with the Microsoft Authenticator app QR code reader, which appeared on your mobile device after you created your work or school account in Step 6.
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Select Next on the Scan the QR code page on your computer.
A notification is sent to the Microsoft Authenticator app on your mobile device, to test your account.
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Approve the notification in the Microsoft Authenticator app, and then select Next.
Your security info is updated to use the Microsoft Authenticator app by default to verify your identity when using two-step verification or password reset.
If you want to use an authenticator app other than the Microsoft Authenticator app, select the I want to use a different authenticator app link in step 4.