Note that after installing the app to your Windows Phone you will need to contact your IT admin to get instructions on how to get your unique RSA SecurID Software Token Record. This is required before the app can generate the one-time passwords.
RSA SecurID Windows Store description:
Make your Windows Phone device a convenient, cost-effective RSA SecurID® authenticator. RSA SecurID two-factor authentication is based on something you have (an authenticator) and something you know (a PIN) — providing a much more reliable level of user authentication than reusable, easy-to-guess passwords. This app, when provided with a software token, generates one-time passwords for accessing network resources.
RSA SecurID can be downloaded from the Windows Phone Store for free. The app is available for both Windows Phone 7.5 and Windows Phone 8.