Please follow https://github.com/techee/geany-lsp?tab=readme-ov-file#quick-start. I expect for Windows you will have to set the `cmd` to be the absolute path to the clangd executable.
Also, for clangd you must make sure that `compile_commands.json` is present under the `build` directory of your project. How you get it depends on what build system you use - `meson`, for instance, generates it automatically when you run `meson setup build`. For autotools-based build, you have to use [Bear](https://github.com/rizsotto/Bear). I believe `cmake` also has some support for generating `compile_commands.json`.