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If you log in to https://account.live.com, go to Security, then click "Get Started" under Advanced Security Options.

From there, choose "Add a new way to sign in or verify" and then "Use an app." It will encourage you to install MS Authenticator, but there is an option to set up a different Authenticator app.
Thanks! I can see it now and able to set it up. Wished they mention it guide before go to set it up. Google mentioned it before start. Now it all set up.

EDIT: Now it defo no working. Keep asking password then verify code and I give it then accept then ask for it again again again. May have to turn it off! Typical MS. Can't even make it simple.
 
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