Most CNC machines have no inherent sense of their absolute position and where their cutting heads are positioned. Zeroing a CNC Machine is the process of making sure that your CNC is precisely setup for the material that it is going to cut(giving it absolute positioning). For a milling machine that includes making sure that X and Y axis are positioned correctly and that the Z-Axis is calibrated to start cutting at the correct height.
There are multiple ways to do this. Beatty Robotics has written a very nice post about how to use a USB Microscope to align the X / Y axes with a micro dot/hole and using probing to set the Z axis height.
The article shows how easy it can be to set up a machine by using fixed measurements like the location of the USB camera and then using the offset to calculate the exact Zeroing point.