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With Mac Mail open, Click on the Mail dropdown menu in the upper left corner and select Add Account. This will also pop up automatically during a first-time setup.
Select Exchange from the list of emails and click Continue.
Enter your full first and last name, as well as your email address.
If given the option, make sure you click "Sign in" to proceed. You will then be prompted to enter your password and will need to approve the Duo sign-in.
It will then prompt you to select which apps you would like to use for this account. Click Done.