Get the book The Arts and Crafts Busy Book by Kuffner. Lots of awesome and easy and cheap/often free ideas for making your own crafts and such.
http://www.amazon.com/Arts-Crafts-Busy-Book-Activities/dp...
or her wiggle book for physical activity ideas:
http://www.amazon.com/gp/product/0684031353/ref=pd_lpo_k2...
Today we made slime, just some water, glue, borax and food coloring, then store in ziplock bags. So easy. You can even make your own glue.
Also, get colorful duct tape. Use it to make train tracks on the ground, or for four square, or hopscotch so you have cute 'active' ideas like that around the room.
You can have a nature center for experiments and such. Pinecones, stones, acorns, leaves and sticks, shells in jars...
Have music time.
Get preschool workbooks for letters and numbers really cheap at half price books, dollar store...
Make things like beanbags, letters out of felt, things for counting like tangrams, musical instruments (paper plates stapled together and filled with beans, or paper towel rolls or cans filled with rice/beans and taped shut. You can spray paint them or cover them with pretty paper and stickers. You can make puzzles.
I am totally perplexed how they have nothing, what did they have before you? Bizarre.
Also, craigslist, freecycle, goodwill... all have super cheap stuff for kids.