Before you can set up Two-Step Verification for your Microsoft account you'll need to download Microsoft Authenticator App on your device by searching for it in your Apple device's App Store or click on the button below Download on the App Store.

Sign in to your Microsoft account, click on your account icon at the top right of the screen, and click My Microsoft account from the drop-down menu.

Under the Security section click on Security dashboard button.

Locate Advanced security options and click on Get started.

Locate Additional security section, and under the Two-step verification click the Turn on button.

Click on Next button to continue.

Click on set up a different Authenticator app.

In this step is shown the QR Code that contains the secret key which you need to scan with Authenticator App. Keep the page open as you reach for your device.
Note: Do not scan the demo image shown below.

Open Authenticator App, tap the plus button, and hold your device up to the computer screen to scan the QR Code from Microsoft web page.

After successfully scanning the QR Code given by Microsoft on step 8, Authenticator App will automatically choose the Microsoft logo and autofill the account name and secret key. Click on Save when ready.
Tip: You can choose the account icon by pressing on icon

Returning to the Microsoft web page, type in the six digit code from Authenticator App in the appropriate field. When done click Next.

Click on Next button to proceed to final step.

You have successfully enabled two-factor authentication(2FA) to protect your Microsoft account, from now on, you will need to use the Authenticator App when you would like to log in to your Microsoft account. Press on Finish and that's all.