Can't approve my iPhone from PC - why???

When I updated my iPhone SE, I was continually prompted to "Update Apple ID Settings."

I enter my iCloud password, then I enter my phone passcode. Finally, I receive an "Approve This iPhone" message that prompts me to approve the phone from another device. The only other device I have is my PC. I can find no away to approve the phone from my Macbook. Nothing pops up, no code and no area to enter a code.

The only other option I seem to have is resetting my protected data, but I'm not sure exactly what will be lost when I do that. What should I do?