It isn't a very positive phrase! It is usually used sarcastically, when someone has not been very helpful with something. It would be almost a mean response. e.g. if you've asked someone to help you with something and they haven't been able to resolve what you wanted, you then say 'thanks for nothing', although this would not be very socially acceptable to say.
It's best to not say this phrase unless you're intending to be a bit rude or mean!