Actually, when they hatch some clams don't look much like clams at all. Clams are a form of bivalve (2 shell) mollusks. Bivalves usually have larvae that swim freely in the water or become parasites on fish gills, unlike their adult forms.

Why does it make sense for an animal that moves around very little as an adult to have a very mobile offspring? Northeast Fisheries Science Center has some fun facts on bivalves.

here

No, clams aren't born with shells. They are free-swimming larvae after they hatch, and just prior to metamorphosis they secrete a hard shell.

Reproduction and development in the bivalvia (the molluscan class to which clams belong) is highly variable, but generally, the sexes are separate and many are broadcast spawners. Fertilization often takes place in the plankton and an early larval stage, the trochophore, develops. This stage is relatively short lived and soon transforms into a veliger. It is at this point in development where shell formation usually begins, originating from a plate-like area on the dorsal surface of the larva.

At the time of metamorphosis, the velum (used for propulsion through the water column during its early planktonic existence) is shed and the juvenile settles, typically spending the duration its life on the ocean floor.

There are however exceptions to this traditional developmental scheme. Direct development and brooding are characteristic of several species of small marine clams, with the young being released from the parent's mantle cavity as fully developed little clams.