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
