Hi, and welcome to Microsoft Q&A.
First, you need to purchase a FIDO2 hardware security key. You can search for them on Amazon and many other websites, and even buy one in a local store.
However, if you are given the option to set up Windows Hello or a browser passkey on Amazon, those are also great options. Windows Hello and hardware security keys are considered passkeys.
Feel free to post back if you need assistance in setting up a passkey.
Craig