A Microsoft file hosting and synchronization service.
Sending a code to an email address or phone number is becoming an obsolete method of authentication. Now it's considered a backup method for accessing your account.
I don't know what the problem is with receiving the code. Have you checked the Spam or Junk folder?
Going forward, I suggest you set up Windows Hello on your computer and use it to sign in to your Microsoft account and unlock the Personal Vault.