Make sure that the site created inside your ConvertBar dashboard matches the domain of your ClickFunnels domain.
If you're using a ClickFunnels domain then your site will be yoursite.clickfunnels.com
If you are using your own domain then your site will be mydomain.com
See this tutorial on how to add a site to your ConvertBar account.
Login to your Squarespace website.
In the menu on the left select SETTINGS.
Under the website heading, select Advanced, then Code injection.
Paste your ConvertBar embed code into the second box down, labelled Footer, then press save at the top.
To locate your ConvertBar embed code see this tutorial.