When I click the set up 2FA thing in the account settings I then see the following
That button contains a link with a secret key, and some other things. What am I supposed to do with it? I want to set the 2FA up to use my authenticator on my phone.
If you click that link on your phone, it should open your 2FA app and add it. Alternatively, you can get browser extensions to convert it to a QR code and scan it like normal on your phone.