I too am experiencing this problem. The only solution offered on various blogs is to use your mobile phone to create an account. But I am nervous about creating an additional account using my mobile phone due to the "Usage Limit Exceeded" problem - if you try to get more than 2 or 3 codes sent to the same phone, the phone gets blacklisted for a few weeks and can receive no more.
The Puzzle Challenge seems to be not working properly. If you succeed at the puzzle, why do you get presented with the puzzle again? One reason only - software bug. I encourage Microsoft to fix this, as it is causing tremendous frustration for many people who dearly want to stick with Microsoft, but cannot get past the first step, create an account. Creating an account should be secure, but reliable and simple.
Please help if you can! No more suggestions about alternate browsers and use your phone, please fix the root cause. If I get through the puzzle, that should be sufficient to proceed.
UPDATE 10-OCT-22
I tried creating an account without requesting a new outlook.com email address. When creating an account with a non-Microsoft email address, the security problems seemed to be less stringent. I had to solve the Puzzle 4 times in a row, and then the account got created. But what to do if I actually need an outlook.com account?