Not sure what to do if you get a text message from Microsoft? Here's some info that might be helpful.
We might send you a text message when you sign in to your Windows phone for the first time or if you try to use a feature that requires you to verify your identity. We might also text you when you sign in to a device that we haven’t seen you use before.
If you have two-step verification turned on to help protect your account, you can choose to receive your security code through text message when you sign in.