Ah, I think what you are saying is that when you get reminded of your username a box appears on screen into which you enter the verification code which is sent to your handset.
This enables you to log into My O2 and see which accounts are liked together.
Its strange because to set-up an account they would need access to your handset. And for the one with a different number, they would need your existing log in details to do the linking.
I think there are two possibilities. Number one is that someone has access to your handset and computer, perhaps family/friend/flatmate etc.
The other option is that your account details are corrupted.
I think you need to contact O2, with a full, clear, description of what happens. Also make sure you don't leave your handset lying around and don't leave yourself logged in to your O2 account (just in case).