If you are not using Microsoft Azure to log into Salesforce and instead use a username and password, you are required to set up MFA to log in.
We highly recommend using the login with Windows user option bypass the need to use an authenticator app.
Upon logging in with a username and password you will see the below.
At this stage you have 3 options
Use the Salesforce Authenticator app
Click the Choose another verification method link
Go back and use your Microsoft account to log in (recommended)
If you want to use the Salesforce app, follow the instructions on the screen.
If you would like to use another authenticator app, such as Microsoft Authenticator, Google Authenticator, Authy etc. click Choose another verification method
Select User verification codes from an authenticator app and click continue
You will see the below with steps on how to add it to an app.
Please don’t try to scan this QR code as it is invalid