Edith, you didn't say if you already have grass growing in your yard. If so, the best thing you can do is aerate. You can rent aerators, or have a service do it for you. Typically, lawns are aerated annually, but it's even better to do it twice a year, spring and fall. That will help loosen the clay, and get the grass more deeply rooted. Beyond that, just keep the lawn well cared for and it will eventually take root. Clay is tough for plants to get established in, but once plants manage to take root in it, it's actually pretty good soil. It holds a lot of water and nutrients.
If you're starting from scratch (i.e. there's no lawn currently planted) then definitely you should take the opportunity to spread a truckload of compost all over the yard (a few inches deep) and till it into the top several inches of soil before seeding or sodding your lawn. It will make a HUGE difference. Can't do that with established grass, obviously, but if you can do so before planting, don't miss the opportunity. You'll never have it again, once the grass is established.