More than likely, your squash is not being pollinated by insects. But you can take over and do it, instead.
Another possible complication is that, during a heat wave such as we've had, is that the temperature is excessive. So, if your hand-pollinating doesn't seem to work, wait until the weather calms down a bit.
To pollinate the squash, use a small artist's brush to transfer pollen from the male (the flower with a long stem) to the center peg of the female (flower with a baby squash already present.)
"Hand Pollination of Squash" is rather lengthy but has all the details, plus images. (http://edis.ifas.ufl.edu/hs398)