windowscentral[.]com/how-set-onedrive-personal-vault-storage-windows-10
What I've experienced...
There are several ways to use two factor authorization each time you open the vault, e.g. using the Microsoft Authenticator app for Android or iOS -- microsoft[.]com/en-us/account/authenticator -- or having a code sent via email etc. What you see in Windows Explorer is a shortcut to your personal vault in the OneDrive folder. When you click that shortcut the dialog to open it pops up, & once you've copy pasted the code from an email for example, a linked folder will appear in the OneDrive folder -- once you close or lock the vault it disappears. That part won't work with one of my copies of win10, and there's not a lot of help available. When I click the OneDrive taskbar icon, there's a button to View online -- that shows the OneDrive folder in Edge, which is set as the default browser, and includes the vault. Clicking on the vault brings up the sign in dialog the same way as clicking on the shortcut in the OneDrive folder, and you can access [add, remove, read] files in the vault that way too. Using the OneDrive Android app works the same.