Multi-factor authentication is also known as MFA, two-factor authentication (also 2FA) and dual authentication. Instead of authenticating yourself with just a password, at least a second form of verification is added, typically a short code texted to your phone or shown on a special app.

Wait, I have to do an extra step every time I log in or open my email???

No, you should only need to enter a code if you're using a new computer to access your email, and even then you can tell it to remember you for 60 days. If you also regularly access your email on your phone, you may have to type in the code from a text message sent to your phone around every 60 days or longer.

How to set up your MFA

We have just enabled this 2FA technology on your email account. This means that you'll type a code sent to your phone if you log into your email from a new location. Below are the next steps you'll need to complete to finish setting it up.

From your desktop or laptop computer open a web browser to https://aka.ms/MFASetup
On this page you'll either be logged into your webmail account already or will be prompted to log in. If it's not you, log out and back in under your own email.
You should then see a windows that says, "More information required" with an email address above it. If it's not your email address, click use a different account, otherwise Click Next.
On the next page, choose Authentication phone from the dropdown, enter your country code and cell phone number and then change the Method to Send me a code by text message. If you would instead prefer to use an app on your phone, click here for those specific directions. You may also choose to receive a phone call instead of a text message on this page.
Click Next.
You'll be texted a code. Retrieve it from your phone's text message, enter the code on this page and click Verify. If you do not receive it, enter a bogus number and click Verify to have a new number texted to you.
Ignore the "Step 3" directions on this page and just click Done.
If you're now prompted to sign in, please sign in and test the new verification method.
If another page opens with a title of "Additional security verification" asking if you'd like to set up an additional method of verification you can just close it, or optionally add another method such as a phone call.
IMPORTANT: Now, go find your Outlook program on your computer. If it's open, close it and then open it again. It should prompt you once more to verify with a text message. Enter the new code it sends you, and now it shouldn't ask you again for quite a while.

Congratulations! You are now set up with Multi Factor Authentication!

The general rule of thumb of figuring out if you need to use an app password is if you are not prompted for MFA on your phone when you enter your password in Outlook on your computer or in your mail program on your phone, or if your regular password doesn't seem to work. In those cases, you will need to generate and use a separate app password for each of the programs (you can't use the same app password for all of the programs). If that happens, you can generate new app passwords at https://account.activedirectory.windowsazure.com/AppPasswords.aspx

If you use any of the following programs, you will need a separate app password for each of them:

Outlook on your Windows laptop/desktop that's version Outlook 2010 or older.
Office for Mac 2011 on your Apple desktop or laptop computer
If you use the default email app on your Android Phone (however, if you use the Outlook app on your Android phone you do NOT need to use an app password).
If you have iOS 10 or below on your iPhone (not iPhone 10 but iOS 10 which is the operating system version)

You can use your regular password (and approve the sign-in using your Authenticator app) if you're using any of the following:

Outlook 2013, Outlook 2016, or Outlook 365 on your laptop/desktop PC
iOS 11 and up
The Outlook app (not native email/mail app) on iPhone or Android
Outlook 2016 on your Apple/Macintosh desktop or laptop computer

Please follow the steps for your particular device at this link.