How do I define the Z axis zero?

Put your tool into the spindle, and raise the table to bring the quill close to the surface of your part. Then, manually lower the quill until the tip of the tool lightly touches the top surface of the workpiece. With the screen back to the digital readout, click the Z button to select the z axis and then press the absolute set button to define it as zero. Then lift the quill to get it back away from the part. You can now conduct milling operations with the surface of the part as your zero. See here.