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Despite the examples, I couldn't find the app for the WIndows 10 Mobile, nor for Windows 10.
ClerpremSPA,
you can use any OTP authenticator APP and use the QR code to sync the authenticator with XG.
See if this url helps:
https://www.reddit.com/r/windowsphone/comments/51w4v3/sophos_authenticator_app/
Thanks