The device type will dictate where you download from. For an android device here
https://play.google.com/store/apps/details?id=com.azure.authenticator&hl=en_US&gl=US
and an apple device here
https://apps.apple.com/us/app/microsoft-authenticator/id983156458
If you're switching devices, then backup restore may not work unless the devices are the same operating system. In this case turn off the two factor at service provider, install authenticator on new device, then reestablish two factor at service provider.
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