Hello, Matheus
If you want to return the first non-zero value from a row, please apply the below formula:
=INDEX(B2:F2,MATCH(TRUE,INDEX(B2:F2<>0,),0))
Please have a try, hope it can help you!

Hello, Robert,
To lookup the second, third or fourth non-zero values and return their columns, please apply the below formula: (After pasting the formula, please press Ctr + Shift + Enter keys together.)

=INDEX($B$1:$I$1,SMALL(IF(B2:I2<>0, COLUMN(B2:I2)-COLUMN(A2)),2))

Note: To extract the third or fourth result, you just need to change the number 2 to 3,4 as you need.

Please have a try, hope it can help you!

Hello Priya,I am glad to help. I will separate the formula = INDEX($B$1:$I$1,MATCH(TRUE,INDEX(B2:I2<>0,),0)) into 3 parts, and explain the formula to you step by step.
First, let us see the inner-most formula =INDEX(B2:I2<>0,). This formula returns an array of TRUE and FALSE whether the values of range B2:I2 are equal to 0. Please see the screenshot 1, formula =INDEX(B2:I2<>0,) returns {FALSE,FALSE,FALSE,FALSE,TRUE,TRUE,TRUE,TRUE}.
Second, =MATCH(TRUE,INDEX(B2:I2<>0,),0) =MATCH(TRUE, {FALSE,FALSE,FALSE,FALSE,TRUE,TRUE,TRUE,TRUE}, 0). It returns the position of the first value "TRUE", while 0 in the formula means an exact match. We can see that the first value "TRUE" occurs at the 5th position of the array. Then the second formula returns 5. See the screenshot 2.
Finally,  =INDEX(B1:I1,MATCH(TRUE,INDEX(B2:I2<>0,),0))=INDEX(B1:I1,5). It returns the 5th value of the array B1:I1. We can see in the screenshot that the value is "May". So the final formula returns "May". 
PS: To drag the fill handle down the formula to get the rest of the results, we must make the range B1:I1 absolute. So we add $ to range B1:I1 to keep it absolute. 
Hope my explanation can solve your puzzle. Have a nice day.
Sincerely,Mandy