All users will get an automated email from Duo Security containing a device registration link. If you receive an email, it is recommended to do the set up on a browser on a computer. You will eventually need to scan a QR code with your phone if you are putting the app on your phone.
When you click on the email registration link the setup process will begin:
Click Start Setupto begin.

Pick what type of device you will be using and click Continue. This guide is focused on mobile phones. For additional guides, please visit Duo Guides.

Enter your phone number and click Continue. A checkbox may appear to verify the phone number entered.

Verify what type of phone (iPhone, Android, Windows Phone, other) you are using and click Continue.

If this is the first time you are enrolling in Duo, and you need to install the app, now is the time. Then click I have Duo Mobile installed.
DUO mobile for Apple devices
Duo mobile for Android devices

Once installed, scan the QR code given and click Continue.

Choose what you want it to do when you log in and click Saved then Finish Enrollment.

Set up is now complete.

If you are logged into any Office365 applications, make sure you log out and log back in again.