MFA protects the 365 apps and portal access so you wont prompted till you access the Azure/365 portals or apps.
MFA Desktop protection can managed with Windows Hello:
https://learn.microsoft.com/en-us/windows/security/identity-protection/hello-for-business/hello-identity-verification
or with Virtual Desktop:
https://learn.microsoft.com/en-us/azure/virtual-desktop/set-up-mfa