My computer asked me to go to one of my devices, and sign in to iCloud to approve my MacBook Pro. I’m on my phone trying to do it but am lost what to do

Here you go: View and manage your Apple ID trusted devices on Mac - Apple Support

Your iPhone must appear as a "trusted device" in the list shown in that example screenshot.

If what you see does not resemble the one in that Apple Support document, click Account Details, then Devices. Click your iPhone. "This device is trusted and can receive Apple ID verification codes" must appear for it to be considered a "trusted device".