You can't change it for 2017. You can change the ongoing W-4 for 2018 by going to your employer and asking what you have to do to get some amount of tax withheld for the state.
It is a bit odd that 0 exemptions produced no withholding, but it may be that you are in a state that has a high income threshold for taxation. It really varies from state to state - speak to your payroll department.
