The documentation mentions disconnecting the leads for a certain test and only connecting a cap after a certain prompt so I don't want to do it wrong.
It's pretty simple. Short circuit the three probe pins/leads and start the calibration (actually adjustment). After a few tests you'll be asked to remove the short circuit and some more tests are run. Then the tester displays the cap symbol and you connect a cap (film cap 220nF - 1µF recommended) to probes #1 and #3. That's the procedure for the k-firmware.
I'm not sure which firmware I have but the Version 1.11k May 27, 2014 .PDF I found says...
"A capacitor with any capacity between 100nF and 20F connected to pin 1 and pin 3 is required
for the last task of calibration. To indicate that, a capacitor symbol is shown between the pin number
1 and 3, followed by the text " >100nF". You should connect the capacitor not before this text is
shown. With this capacitor the oset voltage of the analog comparator will be compensated for better
measurement of capacity values. Additionally the gain for ADC measurements using the internal
reference voltage will be adjusted too with the same capacitor for better resistor measurement results
with the AUTOSCALE ADC option. If the menu option is selected for the tester and the selftest is
not started as menu function, the calibration with the external capacitor is only done for the rst
time calibration. The calibration with the external capacitor can be repeated with a selftest call as
menu selection.
The zero oset for the ESR measurement will be preset with the option ESR ZERO in the
Makele. With every self test the ESR zero values for all three pin combinations are determined.
The solution for the ESR measurement is also used to get the values of resistors below 10 with a resolution of 0:01."