Clips do not lock into firearms, with the exception of revolvers which use half moon clips (such as those designed to fire rimless cartridges) and the M1 Garand rifle. For the answer to this regarding the M1 Garand rifle, see related link "Operating the US M1 Garand rifle".
If, by clip, you mean slang for a magazine, then that is an entirely different story. The magazine of a semi-automatic weapon will have some type of catch that engages the magazine release button or lever on the firearm's receiver. These vary as far as style, but many are simply spring-loaded push-buttons located on the left-hand side of the grip (such as the AR-15, or M1911 pistol). Others have magazine releases in more exotic locations, such as below the trigger guard (as in some H&K pistols).
If this button isn't operating the magazine release properly, it may be stuck; A good cleaning may be necessary, or perhaps the spring and parts may need refurbishing; Perhaps the catch requires adjusting so that it has the proper travel in order to engage as designed; you may be experiencing a problem because the lever is too tight and won't allow the magazine to be fully inserted, or too loose, and doesn't engage well enough to lock the magazine in place.
More than likely, you are speaking of a semiautomatic pistol with a magazine that won't stay in when pushed into the grip; In this case, this is most likely due to a tight spring in magazine, which exerts too much pressure on the cartridges, preventing you from fully inserting it into the firearm. After inserting it, try a very theatrical slap on the bottom of the magazine to drive it home properly until the catch engages.
Alternately, your magazine does not have push-button magazine release, and so the magazine locks in by pushing it fully in, then forward, as in many designs.
If you aren't familiar enough with your firearm to operate it properly (or the firearm is not in serviceable condition), you should not be handling it. Rather, you should take it to an authorized service center or professional gunsmith for refit. You may also look for an NRA (National Rifle Association) approved firearms safety course in your area.
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