As PromisedPlanet said; see if your Clip then appears as a drive under My Computer on your computer.
If you don’t currently have a “USB” category listed under Settings on your Clip, that means that the firmware on your Clip is a much earlier version; there have been improvements since then. If PromisedPlanet’s method above allows you to access the Clip from your computer, you then can update the Clip’s firmware (that is, the software that tells the Clip how to function) by going to the “Firmware upgrade” thread at the top of the Clip forum here (I may have the name off a bit) and then following the instructions there to upgrade your Clip’s firmware. This will get you the most recent firmware for the Clip, with all of its improvements over time, which includes the ability to go to Settings/USB on the Clip and set that to MSC, which will allow your Clip to connect to your computer automatically, without following PromisedPlanet’s steps in the future (in the end, PromisedPlanet’s steps do what the current firmware’s setting of USB to MSC does automatically).
As a general matter, the Clip can connect to your computer using 2 different computer protocols, “MSC” or “MTP”. Of the 2, the MSC protocol is more universal and sometimes will allow connections where the MTP protocol will not. PromisedPlanet’s method, and setting the firmware (after you upgrade your firmware, as noted above) under Settings/USB to MSC, forces the Clip to try the “easier” connection method (MSC), which sometimes will work when the other protocol connection method, MTP, will not. The MSC connection will get you most of what the MTP connection method will, with one major exception: as a general matter, you cannot play files protected by digital rights management (DRM), such as Rhapsody subscription music, if the files were transferred to your Clip when the Clip was connected to your computer with an MSC connection–you need an MTP connection for that. But if you don’t play DRM files, that’s not an issue.
Sorry if this is confusing; just take all of this step-by-step.