Meet MFA Requirement by Permission Set

This setup is best practice for direct login to comply with MFA requirement.

In Classic

From Setup, navigate to Administer | Manage Users | Permission Sets | New.

In Lightning Experience

Click the gear icon | Setup | Users | Permission Sets

Create a new permission set and label it as "MFA Required" as an example, select "None" for license type, click Save

From the permission set overview page, select System Permissions | Edit, enable the checkbox "Multi-Factor Authentication for User Interface Logins" permision, click Save | Save | Done.

From MFA permission set, select Manage Assignments to assign the permission set to users. Select the checkbox for affected users, click Save | Save and Done. 

The users will be prompted to go through the MFA implementation process at next login.