As the name suggests, multi-factor authentication uses multiple methods to identify if you’re really who you claim to be. As a user, you’ll have to acknowledge a phone call, text message, app notification, or just about anything else, other than just the username and password, to prove your credentials. You’re allowed to access the site/app only after you clear this second authentication as well.
This applies to your mailbox and your activation of your office 365 applications.