How do I Approve my iPhone in Update Apple ID Settings

With the latest ios update it asked if you wanted to turn on two level security for iCloud services. I indicated yes. It then said to go to iCloud Account on another device and approve this iPhone. I logged on to iCloud via my desktop computer which then asked me to update my password. I did that. Then I logged back on to my iCloud with the new password on my Desktop which asked for a 6 digit code that it sent to my iPhone iCloud. I received and entered that 6 digit code which allowed me to get into my iCloud account via my Desktop.

I went back to my iPhone, logged out of iCloud and then re-logged in with my new password. In settings there is 1 action that says Update Apple ID Settings. When I select that there is a message that says "Some account services require you to sign in again" Continue. I select continue and it asks for my Apple ID password. I enter my new password and it asks for my iPhone Passcode. I enter my iPhone PassCode and I get a screen that says "Approve This iPhone" "Go to one of your other devices signed in to iCloud to approve this iPhone."

I go back to my desktop iCloud screen and there is no way to approve this device. I go to "Manage Apple ID" on my deck top iCloud and it requires me to log in again. I get a message on my iPhone that asks if I will allow this computer to sign into my Apple account. I click on Allow and an Apple ID Verification Code appears on my iPhone. I enter this 6 digit code into my iCloud browser window on by desktop and it logs into my account details area. In this area it clearly shows my iPhone as a device that I am logged in to and there is no place to approve it or anything else. If I click on the iPhone icon, it shows the details of my iPhone but only allows me to remove this device. No place to approve it.

I still have the same message on my iPhone. I thought about removing and re-connecting my iPhone to iCloud via my desktop but how would I receive the two level approval code if I do that? Some thing is really screwed up or perhaps I have to use another iPhone or iPad to approve? I still don't know if the 2 level approval is enabled on my iPhone which was where I originally was attempting to enable.