Whats the email address that sends the confirmation links for account linking?

So I got it for my PC and it's preloaded and ready to go. I want to get it on Xbox. I go to link my accounts and I get the:

"You have been sent an email to finish linking your account.

In order to proceed please follow the link in the email."

I have checked every email and I cannot find it anywhere. I only get a link to the Microsoft page that confirms you give them permission etc etc but no confirmation.