In order to use Remote Desktop you have to have the MS Authenticator App as your default MFA method. The instructions below show you how to add the app as a method (if you don't already have it) & how to set it as default,the Microsoft Authenticator app.
Add Authenticator App
1. Download the Microsoft Authenticator app onto your mobile (from the relevant app store for your device)
2. On your laptop/PC login to Outlook Web
3. Click on your face/name in the top right
4. Select View Account
5. Select Security Info (if you then see a blank screen, please try using a different browser)
6. Select Add Method
...
and then follow the on-screen prompts
Change Authentication Default
Once you have the authenticator app in Security Info (as above) click Change next to Default Sign In Method and select Microsoft Authenticator - Notification from the drop down menu
...