Verification code? Never received

I have recently changed my password for my apple ID. Now my MAC prompts me to enter the password into my MAC in system preference area. I enter my password, then I get this annoying message, "Type your password followed by the verification code shown on your other devices." I have not received any verification code nor is there even a place to type the code. I have looked in my spam and junk mail but .....no e-mail. My e-mail is set up correctly in my apple account. Please someone help.