Hi! My name is Aj and Im an Independent Advisor here to help! I understand your frustration. Since your authenticar is not set up yet then you will need to use a different recovery method. Kindly try the "Sign in Helper" tool here first https://support.microsoft.com/en-us/account-billing/help-with-the-microsoft-account-recovery-form-b19c02d1-a782-dee6-93c3-dc8113b20c42
If the "Sign in Helper" tool wont work then proceed in submitting the account recovery form at https://account.live.com/acsr and fill it out as much information as you can. After submission please allow 24-48hours for verification.