The budget shows zero values when I set it up

The first thing I would ask is that you check next month's budget. The way that the Money budget works, is that if you set up a budget during a particular calendar month, as the budget period for that month is already in progress, Money will not set up budget values for the current month.

However, to check it is set up with the values you expect, then refer to next month - if they are correct, then the budget is correct.

To add entries to this month's budget, then you would need to use the "reallocate funds" tool in the budget. This allows you to move money from one budget group to another.