If you haven’t already set up multi-factor authentication for your Microsoft account, you will notice a challenge to set up an authentication method when you login to PowerBI or other Microsoft services.
To set up multi-factor authentication just click the “Next” button at the challenge or go to https://mysignins.microsoft.com/security-info and sign in with your Microsoft account that is tied to your specific domain.
You may also see this screen initially (click Next):
Once you hit “Next” then click "Next" to set up the Authenticator method.
Click Next to move forward and up should see the QR code on your computer:
Next, you should download the Microsoft Authenticator app on your mobile device. Open the app choose Work or School Account and Scan QR Code and scan the QR code on your computer:
You should now see a prompt to test your account which will send a notification to your authenticator app on your phone; enter the code that you see on our computer screen into the authenticator app on your phone:
Next you’ll be prompted to set up a secondary authentication method. Add your phone number to receive a verification code:
Enter the code on your computer to set up the secondary method and this should complete the process: