Hi, I'm Bernard, a fellow Windows user. I'm happy to help!
To change security options, kindly follow the steps below:
Add the new phone to be your authenticator:
Go to this link: https://account.microsoft.com/security
Select "Add a new way to sign in or verify"
Click "Use an app" and follow the prompts to add the autnticator app.
However, if you cannot sign in to your account:
Go to: https://account.live.com/
Log in to your account and choose "I can’t use my Microsoft Authenticator app right now."
Then it will provide you with a different option to get the code to sign in, such as a text message or email.
If the issue persists, you may reach Microsoft Accounts and Billing support by following the steps below:
Go to this link: https://support.microsoft.com/home/contact
In the search bar, type in your issue, then hit enter.
Scroll down to the bottom and select the blue button "Contact Support"