Sign in to your Microsoft account accessing https://account.microsoft.com, clicking on the icon, the supplying your login credentials, 

Once you have logged in to your account click on the icon;

Click on the security option "Advanced security options"

You will now be presented with the currently selected authentication options for your Microsoft account.  If you have not already added a passkey click on

In order to add your Fido2 key as an authentication method you will now need to select the option "Face, fingerprint, PIN or security key";

A new popup window titled "Continue setup" will now open asking if you want to use your device to sign in to  login.microsoft.com, click ;

You will now be asked to select where to save this passkey, select , then click .

A new popup titled "Security key setup" will now open, click , and at the "Continue setup" prompt click ;

You will now be prompted to insert your security key into the USB port, Insert the Fido key;

Upon detection of the Fido key the prompt will change to requesting a PIN code,

Supply the numeric pin you require then click ;

You will now be prompted to touch the button on the Fido key;

After pressing the button you will be informed that the Passkey has been saved;

Click, and after a short delay you will be asked to name the passkey, supply a suitable name for you key then click ;

Your FIDO2 key will now be notified that your Fido2 device has been added as an additional authentication method for your Microsoft account;