Hi there - don't feel down! Clomid often does not work for people. Sometimes it does, and I'm not sure what your diagnosis is, but many women that have ovulation issues need injectables added to their protocol. Clomid didn't do anything for me (except give me hot flashes and make me moody...good times) and it took until the 4th IUI for my doctor to find the right med dosage that worked for my body.
My BFP cycle was Femara + Gonal-F injects + trigger shot and then afterwards I took progesterone suppositories. She also let my eggs "cook" a little longer and get bigger in my BFP cycle than we had in the past.
IUIs can be tough because women often have to go through a bunch of them to find the protocol that works for them but keep the faith and hang in there - Clomid may not be the right drug for you. Talk to your doctor and see if she recommends trying something different. Often they make you try Clomid a few times before moving forward with injects (my doctor did).