You are iterating over a range of the current length of lst. Every time you do lst.remove(lst[k]), the lst gets shorter, so the range you were using becomes unsuitable. For example, if you start with 8 elements, it goes from indices of 0 to 7 inclusive, but if you remove an element, the last index will then be 6, not 7.
The easiest way to fix this is to simply create a new list:
lst = []
for i in range(1,13196):
if 13195 % i == 0:
lst.append(i)
result = lst[:] # create a copy to work with
for k in range(len(lst)):
for j in range(1,lst[k]):
if lst[k] % j != 0 and lst[k] in result: # check that it's there before removal
result.remove(lst[k])
print(result)
That said, this code eliminates every number which cannot be evenly divided by every positive integer smaller than that number, which understandably produces a result of [1]. If that's not what you wanted, you'll have to take another look at your algorithm.