1- Open an in-private browser Window and open this link:

https://mysignins.microsoft.com/security-info

2 - Click on plus sign to add new Method.

3- Choose Authenticator App

4 - Click Next

5 - Click Next

6- On You Mobile Device, open Microsoft Authenticator App, Touch on plus sign, Add a new "Professional or School Account", and Scan QR Code showed in your PC.

7- Click Next on your PC and Aprove Sign-in in on your Device.

8- Change de Default Method. Click on "Change Button", Select "App based authentication - notification" and Confirm. 

Important Security Tip:

Only Approve notifications that you are absolutely sure they were originated by your devices