When prompted to get the Microsoft Authenticator app, choose the option at the bottom: I want to set up a different method.

In the Choose a different method box, choose the Phone dropdown option and click Continue.

Select your country code and enter a full phone number where you're able to receive a direct phone call or text message code. Choose whether to "Receive a code" for a text message, or "Call me" to receive a phone call. Click Next.

If you opted to Receive a code, you will receive a text message containing a 6 digit code. Enter it in the prompt and click Next.

If you opted to receive a call, you will have to answer the incoming phone call and follow the spoken directions to approve.

Once your phone has been registered, click Next to finish.