Hi @Em11www and welcome to the forum.
Are you signed into your My Sky account at https://www.sky.com/mysky You must be signed inbefore entering your activation code.
During setup you must also be using the same email that is registered to your account.
Once logged in go to https://www.sky.com/productsettings/streaming-tv/activate This is where you can enter your activation code that appeared on your screen during setup.
The following link is to a setup help guide:
https://www.sky.com/help/articles/setting-up-sky-glass-help
If all else fails call Sky for some additional troubleshooting.
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