I incorporated a business in February 2017 and only started the business in October 2018, but did not file for 2017. It has made no money, only expenses. What do I do?

If it was a Corporation and S-Corporation you should have filed a 2017 return, the IRS requires S-Corporations and Corporations to file returns each year. You should file a zero 2017 return and then work on 2018. 

If it is an LLC, you do not have to file a return for 2017 since it was not operational and can work on filing your 2018 return with your expenses. The best place to start is here: https://turbotax.intuit.com/personal-taxes/online/ and get the Self-Employed version.