Do the non winners of Jeopardy get to keep their money?

I'm a bit confused by this because I wanted one day a few weeks ago and the lady had bet all of her money and got the question right and he said it will be a big payday for her IF she won but she didn't. And I watched tonight's show were the guy bet 0 and he had like $5000 which means nothing should have changed but at the end they said he won $2000. So I don't get it, I thought they got the money they won anyway. Win or lose