As Denis Rubashkin said in a comment:
If you had a look at the script text you would see that the script just creates a procedure
sp_Blitz. You have to execute that proc (sample execution call with the most common parameters is in the bottom of the
sp_Blitz script) to get an output you are waiting for.
You just created the procedure, but you still have to execute it. Here's some extra information if you have more questions:
There's a bunch of good resources you can check to get more information about any of the blitz procedures.
If you like to read:
This is the official documentation on the procedure, you can probably find everything you need here: sp_blitz documentation
If you rather watch videos:
Brent has made some great YouTube videos where he goes through the usage of the of the Blitz procedures.
This one is for the SP_Blitz, but there are also some vids for SP_BlitzIndex / sp_Blitzfirst. (All very useful procedures)
Brent Ozars youtube