In order to set up a Sign On preference, go to Manage -> Users, then click Edit (the pencil icon) next to the user's name that you want to change sign on methods for.
Click the dropdown for "Change authentication mode", and select Microsoft.
Next, click "Save" at the bottom, and now when that account signs in they'll use the "Login with Microsoft" button on the login screen.
If when signing in you/they get a message saying "Need admin approval" (like above) then your company's Azure admin (typically an IT team member) will need to turn on the "Users can request admin consent to apps they are unable to consent to" on this page:
Once completed, try signing in again and it will still ask for admin approval but it will let you request permission from your company's admin.