Icloud App on PC Verification Failed

I can log into Icloud on the web but when I try to use the App on PC, I enter my password, same as the web application and I get an error message that says "Verification Failed: To access your end-to-end encrypted data..... sign insto an Apple device to receive a verification code." I have my phone with me, nothing pops up for a verification code nor a window to enter one.