This is a somewhat conflictive phrase. Someone may say it when they're upset or annoyed because someone who (they think) should or is supposed to help them with something (be it their job, or just good manners) is actually no help at all. They may believe that this individual is simply refusing to help would they easily could, is not competent enough to fulfill the task they are meant to, or are otherwise incapable of helping. So the person becomes upset and may sarcastically say "Thanks for nothing." What they may mean by saying this is "You were supposed to help me, but you did not help me at all!" or something like that. Note again, this is a somewhat conflictive thing to say, and by saying you may very well insult, anger, or hurt someone's feelings.