Setup MFA and the Authenticator App using this link 
https://aka.ms/mfasetup

For a Microsoft article explaining the process, including full instructions (click here)

• Log in with your school email address and password.

SETUP THE MOBILE APP

• On the next screen select Mobile App and Use Verification Code, then click Set up
• The next step is to install the Microsoft Authenticator app on your mobile phone so you can scan the presented QR code

 FOLLOW THESE INSTRUCTIONS IF YOU HAVE AN APPLE DEVICE

• Visit the App store and install Microsoft Authenticator

• Once the app is installed click;
  • Add Account 
  • Continue
  • Work or School Account
  • OK

• Then scan the QR Code and press Next on your computer

 FOLLOW THESE INSTRUCTIONS IF YOU HAVE AN ANDROID DEVICE

• Visit the Google Play Store and install Microsoft Authenticator

• Once the app is installed click;
  • Data Privacy - OK
  • Add Account
  • Work or School Account
  • Allow
• Then scan the QR Code and press Next on your computer

Your PC screen will display 'How should we contact you?'

• Select Mobile App
• Select Use verification code
• Click Next

• Enter the code into your PC that is displayed on your mobile app

• You will then need to re-log into your Office 365 account on your computer using your password.

Your PC will then ask you to enter in the code from your phone. This will be a different code from last time.

• Click Verify

This will then log you into your account.

In future, when logging into the Office 365 portal you will be prompted for a code from your mobile phone.