If you're starting with a brand new Ledger device, first download Ledger Live and install the device before attempting to connect with Keplr. Instructions should be included with the device, and troubleshooting is provided by the Ledger team.
Official Ledger Live download
1. After installing Keplr Wallet for desktop, click on [Connect Hardware Wallet] and click [Connect Ledger], and give a name to your wallet.
2. Connect your Ledger to your desktop device by cable (or Bluetooth, if you have the Nano X) and open the Cosmos app on your ledger device. When you see ‘Cosmos ready’ on the Ledger screen, click [Next].
3. You will see the Keplr pop-up to grant permission to connect the hardware. Click [Nano S or X] and click [Connect].
4. Select the chains that you want to use and press [Save] and press [Finish]. Your wallet is imported.
5. You can now start using your Ledger hardware wallet with Keplr by following the device prompts. Note that from the accounts menu, your account description will show the HD derivation path. Click here to learn more about derivation paths.