I am trying to setup Keychain but I am having a problem
I can't enter a Security code.
Where do I find that?
MacBook Pro with Retina display, OS X Mountain Lion (10.8)
Typically it is your admin password to your account.
If you changed psswd to your account the keychain psswd will still be the original psswd
OS X: Keychain Access asks for keychain "login" after changing login password - Apple Support