they come with male and female flowers. The male flowers will not produce courgettes but are there to pollinate the female ones. The first flowers you see may well be male ones. You can tell a female as it will have the start of a tiny courgette behind the flower.
You can eat the flowers so remove the male ones and find a nice recipe!!
Adding to Hawkwalk's tastefully sapient post; Here in the U.S. the severe lack of bees due to an as yet undiagnosed bee population disease has provided yet another barrier to appropriate fertilization and this may be part of your problem since the bee malady seems to be almost world wide...
By the way, we call them Zucchinis here...
They also may simply not yet be ready - it takes about 16 weeks from sowing the seeds to harvesting your first crop. If you leave the courgette on the plant it will get bigger and bigger until it becomes a marrow ! The younger ones are really tasty and lovely in a salad or lightly steamed whilst a marrow will need a bit more cooking. You will also need to ensure the plant gets LOADS of water (lol, not hard at the moment) and do protect from slugs (sand or grit around the base of the plant) and from bruising (straw or newspaper under the courgette)
Give them 'sex by hand'! Insert male flower inside female flower. You'll see they are a perfect fit at the business end. For giving them such fun they will reward you well!!