If you already have an authenticator app installed on your phone, use it instead of installing a second one. Otherwise, browse to this page using your phone or tablet and select the appropriate item below; they are listed in order we recommend. Yes, of course, you may just search for these in the app store on your phone too.
iPhone / iPad
Once you have an authenticator app installed, click the option to add a new entry (Choose to add an “Other” account if you are using the Microsoft Authenticator).