If the database has very low load (say < 2%), you might not see anything. Some things you can do:
1. Adjust the recording settings (in the File menu) and set the polling interval to something shorter. This will collect more information and you will likely see more queries that way.
2. Try recording for longer periods of time (say 1 hour or more). The more you record, the more you are likely to catch.
3. Try to cause load on the database and see that it appears in the program. Either load it through normal use (e.g. hitting web pages if you have a web application). You can also run the following test query. It will take a few seconds to complete. Watch out, as it will eat some cpu while doing it:
SELECT BENCHMARK(200000000, now());
It will ask for the time 200 million times. Increase the number if it takes less than a second to run. It should show up in the program.
4. Make sure the db user has enough rights. See http://www.jetprofiler.com/faq/#what-user-grants-are-required