I have just downloaded Audacity and connected a Clavitech keyboard to my laptop with a usb cable but don’t know how to set it up.

I presume that you are wanting to record sound from the Clavitech keyboard onto your laptop?

Does your Clavitech keyboard send audio through the USB connection or just MIDI (the Clavitech manual should tell you).

Yes, the manual says the USB port allows the instrument to be connected to a computer, and can receive and transmit midi data by it. Are there settings in Audacity that I need to change ?

MIDI is not audio.
MIDI is just data that sends commands from one piece of equipment to another, for example from a keyboard to a synthesizer

Audacity does not do MIDI (other than being able to display a MIDI file). Audacity is for recording and editing audio.

To record audio from your keyboard with Audacity you will need to connect an audio output from your keyboard to a “line level” audio input on your computer.
Most full-size computers have a “line level” input. Many laptops have only a microphone input, which is not suitable for connecting a keyboard. If you don’t have a “Line” input on your computer you will need to add one, for example with a USB sound card that has “line level” inputs (eg the Behrringer UCA 202).

See here for general advice about connecting up:

Super, thanks very much. This is a great help. Thanks for the awesome support.