If you are trying to join your friend on the Microsoft Store version of Halo MCC, you will be unable to join them through the Xbox Console Companion App on your Windows 10 PC. Instead, you will need to do so via the Game Bar.
Once your game is loaded and you are signed into the correct account, press WIN+G on your keyboard to bring up the Game Bar.
Once you have the Game Bar on your screen, look for the “Xbox Social” icon in the bar and click it to open your Xbox Social list in a new window. From there, navigate to the friend you would like to join. Right click on their name and select, “Join Game” to party up.