Study a French instrument in puzzle (9)
I believe the answer is:
conundrum
'puzzle' is the definition.
(I've seen this before)
'study a french instrument' is the wordplay.
'study' becomes 'con' (conning is a kind of studying).
'a french' becomes 'un' ('a' in French).
'instrument' becomes 'drum' (drum is a kind of instrument).
'con'+'un'+'drum'='CONUNDRUM'
'in' is the link.
(Other definitions for conundrum that I've seen before include "Puzzle, riddle" , "Difficult problem" , "That's puzzling" , "Poser" , "Difficult question" .)