Help! Some infos on how to use L2

Hi all.

Up to know I've transferred my eth from the exchange to my ledger by using erc20.

If I want to use an L2 to transfer my eth from the exchange to the ledger, is it as simple as setting the L2 on the exchange and then sending the fund to the same address where I keep my erc20?

On Metamask, associated to my ledger, when I turn to arbitrum this message is displayed "Attempting to send resources directly from one network to another could result in permanent loss of the resource involved. Make sure you use a bridge"

What does it mean? Are Erc20 and Arbitrum the two networks involved?

What does "make sure you use a bridge" mean?

Thank you in advance!