Trying to set up my account in Authenticator but it asks me for an Authenticator code so going round in circles

Question

I have a Microsoft business email product.

I am trying to set up the email on Authenticator but when I try to sign in it asks for an Authenticator code, which obviously I don’t have yet.

There is no other authentication option, eg no text option.

I also cannot access the the MFA page it suggests because when I try to log in there it wants an Authenticator code.

The product is via GoDaddy who I have spoken with and turned off 2 factor authentication there, but I still cannot seem to change my authentication options. They have suggested it’s a Microsoft / Authenticator app problem.

What can I do to set up, for example, phone verification instead. And how can I access my security settings.