If Cayenne library is not available in your Arduino IDE library list then update your Arduino IDE.

The steps for connection and setting up are available in the Cayenne (mydevices.com). After connecting the Arduino using USB, a batch/script file needs to be run on the system, otherwise Cayenne will not be able to connect to Arduino.

Windows: 
> cd C:\Users\<uername>\Documents\Arduino\libraries\Cayenne\extras\scripts\
> cayenne-ser.bat -c COM21  // Replace COM21 with your Serial Port number to which Arduino is connected.

Linux:
I haven't tried this on Linux system yet.
The script file name for linux is cayenne-ser.sh

The script needs to be stopped before transferring binary (codes) to the Arduino else, Arduino IDE will complain – port busy or not accessible.