Two-step verification helps protect you by making it more difficult for someone else to sign in to your Microsoft account. It uses two different forms of identity: your password, and a contact method. Even if someone else finds your password, they’ll be stopped if they don’t have access to your other devices or accounts. (This is also why it’s important to use different passwords for all your accounts.)
This is why Microsoft Authenticator app arrives. The app provide a key to unlock your device with two-step verification. This is most useful for those users with computer or tablet with Windows 10 can easily unlock their device using mobile phone application (through bluetooth) without a PIN or password.
Note: This app is still in beta and can be downloaded if you are on Redstone. Future versions will include support for Microsoft account, a sign-in solution for browsers and VPN, one-time passcode generation, and MFA approval through notifications.