Please find the below steps and screenshot to set up the modern authentication. I've attached a document to this solution article that elaborates on the change at Microsoft end and also the steps to switch to Modern authentication.

Step 1: Kindly navigate to Microsoft 365 admin center.


Step 2: Click on Settings


Step 3: Select Org settings


Step 4: Search Modern authentication by using CTRL + F


Step 5: Select Modern authentication 


Step 6: Turn on the modern authentication


Step 7: Save