If you want a cheap and easy screen for fry get an AquaClear filter sponge and cut a slit in the middle of it and slide it onto the filter.
As far as feeding the fry, it will take a few weeks before they are able to eat larger foods. My convict fry are doing fine in my fry tank that is just heavily overgrown with algae and has a big clump of java moss in it.
Most fish will eat their young if they suspect they wont survive because they'd rather get the nutrition than lose it to other predators. What size tank are they in?