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You need to the [Crypto.org Chain Desktop Wallet](https://crypto.org/docs/wallets/desktop_wallet.html) installed to interact with the [Crypto.org](https://Crypto.org) chain app on your Ledger.
Alternatively, you can use the Keplr browser extension to connect to your Ledger and manage your Crypto.org assets that way. If you go the Keplr route, note this runs off the Cosmos app, not the Crypto.org app on your Ledger.
I’d personally suggest the Keplr route myself, just because Keplr is much more widely supported in the Cosmos ecosystem than the Crypto.org wallet. Once you have Keplr connected to your Ledger, all of the chains supported by Keplr are automatically protected by your Ledger via the Cosmos app.