Unfortunately, Windows 11 does not currently support FIDO2 enrollment.
FIDO2 (with ed25519-sk) is a simple way to protect your keys and is simple to enroll. Unfortunately, not all Yubikeys support FIDO2. In that case, you might be able to use your Yubikey like a "Smartcard" (PIV). Yubikey/Smartcard takes more steps but is not that difficult. Please see: