I have the later 60A current probe that doesn't have the wheel the zero the gauge. I'm trying to diagnose a parasitic draw but my probe is reading .43A before I've even put it over the wire.
The probe should zero on connection but if you find you need to redo it there are a couple of ways.
First as Liviu mentioned you can zero the probe by entering the channel options. From here click on the probe tab where you should see the option to Zero.
Alternatively remove the clamp from the load you are measuring. Disconnect from the scope and then reconnect. The clamp should now be zero'd.