You need to keep the apperture ring set to the minimum setting on that body. Other bodys allow you to set the f-stop by turning the ring but on your D60 you set the f-stop using control wheel on the body, not the ring on the lens.
Actually, every Nikon body since at least the 8008s film body wanted you to set the aperture on its smallest setting and control the settings from the camera (close to 20 years.) Even old AF-D lenses that won't AF on the D60 have a lock at the smallest aperture for this- while you could use the aperture ring on many older bodies, it is actually less useful than letting the camera control it, as you can use the wheel on many bodies to change the shutter/aperture settings "in step" with one another.
I think it's been necessary for any of the non-manual modes, but I don't recall ever having my aperture off of the smallest setting on my 8008s, S3Pro, D200 or D2x bodies. (IOW, it's more a Nikon thing than a D60 thing.)