When using multifactor authentication, an authenticator app is regarded as more secure than text messages or calls.
Most vendors, including Google and Microsoft will strongly suggest you use their own app for this purpose. That’s ok, but the technology is the same, so any authenticator app will work. In the case of Microsoft, you will need to change the QR code they generate as that has some additional information to send notifications included in it.
Authenticator apps allow you to add multiple sites to them, so don’t feel you have to have a different app for each login - it makes much more sense to use just one.
We’d recommend using an app that provides a backup of your codes in case your phone is lost or stolen. Currently, the most popular authenticator app, Google Authenticator, doesn’t offer this. Have a look at Microsoft Authenticator, Authy, or if you’re a LastPass user, LastPass Authenticator.
I don’t have a phone/I don’t want an app on my phone. What do I do?
If you don’t want an authenticator app on your phone, or it isn’t a viable solution for you, there are vendors that provide desktop versions of the same software.
Be aware, that using a desktop app will restrict your ability to login from any other device as you’ll need the code from the app. That’s why mobile apps are so prevalent - you tend to keep your phone with you wherever you go.
For desktop apps, we use Authy. It provides good backup, desktop and mobile apps that can all be kept in sync with each other.