Once your admin enables your organisation, and your account, with multi-factor authentication (MFA) you have to set up your user account to use it.
By setting up MFA, you add an extra layer of security to your Microsoft 365 account sign-in. For example, you first specify your password and, when prompted, you also type a verification code provided by an authenticator app or sent to your phone by text.
This way if an unscrupulous person was to gain access to your email address and password they would still not be able to log in without the verification code.
You will have to verify your identity when signing in for the first time on a new system such as signing on your home pc to check your email online, and you will have to re-verify yourself every 60-180 days dependent on your organisation's security decisions
Step 1 Visit https://aka.ms/MFASetup or Sign in to Microsoft 365 at https://office.com with your work or school account with your office password like you normally do.
After you Sign in, you'll be prompted for more information. 
At this point, you will be asked for additional security Information, You can choose to set up using a text message, Call or Mobile phone app.
Option Authentication by text message. This is the simplest way. simply choose UK +44 from the country code and enter your mobile number removing the zero
Once entered you will be sent a text message with a verification code that can be entered simply.
Option mobile phone app using notification or verification code. whilst this is a little more technical it's good for people who use multiple 2fa services and
First search the Android AppStore or Itune Appstore for Microsoft Authenticator.. the icon should be a padlock and the app is by Microsoft
This app installs like any other but when installing on an iPhone make sure you allow the notification.
Once you have downloaded the app, choose to add a school or workplace account. this will then ask you to scan the barcode on the screen with your mobile camera.
When complete you will be presented with a notification which you approve or a verification code that will be entered on your computer
If you are at all unsure of how to set up the app on your mobile phone this handy video should help
Your 2FA/MFA is now complete. going forward you will be asked to verify the first you log into an unusual device or location and you may be asked to verify your identity on your work system every 60-180 days
To reduce the number of times you are asked you can choose don't ask me again from the checkbox
If you have any questions about this guide or are in need of support please feel free to email support for assistance