In order to enable Steam Guard on your Steam Account, you will need to follow these steps:

• Open the Steam client and select “Steam” in the upper left.
• Go to “Settings”.
• From the 'Security' tab, and select "Manage Steam Guard".
• On the page that appears, select "Get Steam Guard codes by email (will require you to re-login)".
• With Steam Guard enabled, you will be asked to enter the special access code sent to your email address each time you login to Steam from an unrecognized device.

Note: Be sure your contact email address is verified with Steam.  You can check whether your email address is already verified by visiting Account Details page. A verified address will be marked as "Verified".

Here you can check how to enable Steam Guard on your Steam Account: