Can you ask them to try logging in using a new browser in an incognito window to see if they face this same issue?
If they're accessing an application you may need to grant admin consent to solve this problem. https://learn.microsoft.com/en-us/azure/active-directory/manage-apps/grant-admin-consent
Also, you may need to enable user access to Enterprise apps. From your Admin portal, go to Admin Centers > Azure AD > Users and Groups > User Settings then make sure "Users can consent to apps accessing company data on their behalf" is enabled.