I think I know what's going on. I just went through the same issue installing Rockbox on a Clip Zip.
Assuming the Clip+ is the same, the problem is that you have the Clip's USB mode set to either "Autodetect" or "MTP" mode. It has to be in "MSC" mode or else the Rockbox installer cannot find it.
Before you connect the Clip to your PC, power it on and navigate to: Settings > System Settings > USB Mode
Then choose "MSC"
Now when you connect the Clip to your PC, it will be recognized by Windows as a drive, and it will be assigned a drive letter. Rockbox Installer can't find the Clip unless it is assigned a drive letter. Be sure you can find the drive on your computer before even starting the Rockbox Installer.
Once you start the installer, be sure to click on the "Configuration" button, and then be sure to select the correct drive letter for the Clip. If you fail to do so, it defaults to your C drive. If you check your C drive now, you will probably find a folder named: ".rockbox" on it, along with the Clip fimware (it's on the C drive because that's where Rockbox Installer installed it the last time you tried it because it couldn't find your Clip).