Second factor or two factor authentication (2FA) is an added security measure to protect your user account should some find out your account's user credentials (username & password).
With 2FA, after you enter your credentials, one of your trusted devices (one that you have logged into this account successfully previously) will receive a (typically 6 digit) authentication code via a text message from the financial institution.
You would then enter this code when prompted on the device you just entered your credentials.
However 2FA is not enabled automatically. You have to agree to use this process for it to take affect going forward.
D.I. Johnson is correct. You need to contact your financial institution to have them assist you with setting up 2FA, especially if they are demanding that you use it to access their site.