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First, install an authenticator app. It can be Google Authenticator, Microsoft Authenticator or anything else that is able to generate this code. For example those one: Authenticator for android (by Microsoft) - Authenticator for Apple (by Microsoft) - Google authenticator
At first activation of MFA or on the page where you change your setting for the MFA, tick the box "Authenticator app or Token" and click on "set up Authenticator App. Follow the procedure.
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