Smart Lock is one of the new ways of handling lockscreen in Lollipop, simple that you’ve got Trusted devices that gives you quick entry into the phone.
This about when you have updated to Lollipop, it might already be there by default after a factory reset.
And: first make sure that it did the Google Play services update that it want to do. Or you will not have all the bits needed for this. You might have to restart a couple of times to get it in.
This all happens under Settings > Security
You NEED to enable a lockscreen with a password, pattern or PIN first or the rest of the steps will simply not work. I use Pattern myself since that is what I prefer. Smart Lock requires this.
If Smart Lock turns on. Then you’re done. If it doesn’t, you need to keep on reading.
Then you go down to Trust Agents that you find right under Advanced. Inside there you will find Smart Lock, simply enable that. And step back into Security where you now will have Smart Lock.