Read the manual? Generally you have to push some button or combination or buttons on the scale, wait until it tells you to place a calibration weight on it, put an accurate weight down, and (sometimes) push another button. But it varies depending on the model of the scale.
If you don't have a calibration weight you can't really do much. You can buy extra ones from science stores and things like that. A new set of calibration weights shouldn't be more than 20-40 dollars, or individual weights $5-10.
Nothing around the house is going to be accurate enough to use as a reference weight for a 1mg scale. You can use (some) new, clean coins for 1 gram scales though. Look up your local mint (US or Canada) for coin weights.