Your Clip may be connecting via USB in MTP mode so it will not show up with a drive letter (F:\ or G:\ etc. only show up in MSC mode).
Look for the Clip under the Control Panel (assuming Windows) and under Audio Devices.
If it’s not showing up, you may want to look at the Device Manager (right click the My Computer icon on your desktop and select Properties, then click on the Hardware tab, then click on the Device Manager button) and see if you see any yellow triangles or red exclamation marks (!) to try to figure out what the issue might be.
Good luck and let us know what worked (being optimistic).