As soon as you pump it once, the gauge should move to show the then-current pressure for the tire. The gauge doesn't just show what pressure you add (by pumping), it shows the total pressure in the tire (some show the total pressure as soon as you hook it up, and some may not show the total pressure until you actually start pumping). You would rarely start from zero (in the tire) unless you had a flat and/or just mounted a new tube in the tire.

ETA: Blueberry and I were writing at the same time.