With the Teensy 3.x series of boards you'll need to do a bit of work to load them with MicroPython. There is no pre-built firmware for these boards so you'll need to follow the instructions from MicroPython's teensy port code to compile the firmware yourself.
Note that the Teensy MicroPython port instructions are written assuming you are using Linux. Consider setting up a Vagrant Linux virtual machine for building firmware if you aren't using Linux.
In addition the instructions link to pages for setting up the GCC ARM toolchain which unfortunately no longer exist. You will likely need to setup the toolchain on your own to follow the instructions. As mentioned above getting MicroPython on the Teensy 3.x board is only for advanced users right now!