In order to connect to the VPN, you must first Install and configure the Microsoft Authenticator app with push notifications as your default sign-in method.
If you do not have a smart phone or device capable of installing the Microsoft Authenticator app, you will have to change your default sign-in method to use a Phone call instead.
NOTE: You will not be able to connect to the VPN if your default sign-in method is configured for SMS text or Authenticator App codes. You will receive the codes, but will not have a way to enter them for verification.