I need help with my new HRM :(

Options
I DID NOT MEAN TO DOUBLE POST, I REALIZED I POSTED IN THE WRONG SPOT BEFORE. SORRY!

So, I finally bought a heart rate monitor today! But I can't seem to figure it out. I bought the New Balance N4, designed for women. I wasn't totally sure what to put in for level of workout (1,2 or3) so I put 3. I wasn't sure for the upper and lower zone limits, so I left it at default.
I worked out for 20 minutes, doing the 30 day shred. When I was done, it said I had burned 0.00 calories!
I don't know what I am doing wrong.
I would appreciate any help or ideas anyone has. I desperately want this to work, especially since I spent $70+ on it. Thanks so much!