Go to the settings tab and you should see a box titled "Google Auth" In there, there is a QR code which you scan with the google authenticator app on your phone. Then just enter the code for the site in the box and click verify.
I have done that, but for some reason, it is still not asking me for the code when I log in. I don´t get it. Is there anything else I am missing.
Well that is interesting. I just tried it too and I logged in without having to enter the code. I think there is a problem with their system. Open a support ticket with them.