Setup and Enrollment:
It is recommended to start the set up process on from a computer. You will eventually need to scan a QR code with your phone if you are putting the app on your phone.

Duo Universal Prompt - Guide to Two-Factor Authentication ยท Duo Security
When you are prompted to the set-up process, you will see the following screen:

Pick what type of device you will be using. We encourage the use of Duo Mobile.
For additional guides, please visit Duo Guides.

Enter your phone number:

Verify your phone number:

If this is the first time you are enrolling in Duo, and you are needing to install the app, now is the time.
Duo mobile for Apple devices
Duo mobile for Android devices:

Once installed, scan the QR code given.
To do so, open the app. In the right hand corner, click +Add.
 Select 'Use QR code' at the top.
Select 'Use QR code' at the top.
 Save the account.
Save the account.

If you are not able to scan the QR code, there is an option to text a link. When you receive the link, click on it to open it in the Duo mobile app.
Once it has been scanned, you will see a green check mark over it and get confirmation that it has been added.
Click Continue.
You can now add a security key if you have one, or you can skip this option for now.
Once done, your set up is complete! You can proceed to authenticate into your account! 
Add Another Device
To add another device, please see this Duo Guide: Add Another Device