Your courgette should be having two different types of flowers on it - male and female.
The male ones are just yellow flowers on the end of a stalk, but the female ones have a baby courgette just behind the yellow flower.
You must dip a child's paint brush into the male flower and then dip it into the female one in order to fertilise the blooms and make a courgette develop.
If you have only male flowers present this is often the case early in the season, female blooms will follow.