How do I turn Find My Phone on?

Settings, then tap on your name on the top, a Find My and you can turn it on there.

That depends on the iOS version on your phone. If it's iOS 13 go to Settings/<your name>/Find my and turn it on. For iOS 12 or earlier go to Settings/<your name>/iCloud - Find my iPhone.

If you have iOS 13, it's in

Settings > [your name] > Find My > turn it on here.

For previous iOS, it's in

Settings > [your name] > iCloud > Find My iPhone > turn it on here.