This doesn't sound too healthy.

I hope by cheap you mean less than £5. You say you are minus a peg. Are you minus a bridge as well?
To buy a full set of strings it will cost you between £6-10 for a very cheap set, a bridge set up with cost you about £25 if you are lucky not including the bridge sometimes.
If you are setting yourself you may find it hard. You need to wind the strings onto the right pegs for a start and also in the right order. Also check that the soundpost inside the violin is upright before setting up the bridge and attaching the tailpiece also. I think you are best asking the music shop to do it for you, some will do it for free, some will ask you pay a small amount.
A cheap violin minus strings and peg often becomes a more expensive violin in the long run.....sorry. Where did you get it? A good setup is vital to good playing even at the beginning. If the bridge is not correct you may touch 2 strings however hard you try to play on one. You may be better getting one already setup depends on your budget.
Books to use, Tune a day bk 1 is quiet good has pictures to help holding violin/bow. Abracadabra has a CD which is good if you want something to play along too but has no pictures. Team strings is used as a beginner book in school.
Wagon Wheel/Fast forward series is also very good but does not have pics on how to hold.
PM if you need more help.
What size is it?