Before you can use the Yubikey Authentication system, you need a Yubikey Hardware Device.
When you have one of these devices, you can generate yourself a Yubikey application ID and key. You will need this so that the Shield plugin may communicate with the Yubikey authentication servers.
To generate your Yubikey application ID and key, please go here:
Once you have these, you can go to Login Guard module, enable the Yubikey Authentication system and enter your ID and key.
To learn how to enter your ID and key, read the article here.
We also recommend you to read What is Yubikey Authentication?