After you've set Mach3 up for the correct "ports & pins" you use the UP/DOWN, LEFT/RIGHT, and PAGE UP/PAGE DOWN keys to jog the X, Y, and Z axis. You can also hit the TAB key to bring up the virtual MPG/Joystick, then you can click on the appropriate arrow keys to jog. Ctrl-Alt-J or clicking on the "Jog ON/OFF" button toggles jog mode on and off, make sure it is on. See chapter 6 of the "
Using MACH3 Mill " user's guide for complete coverage of this topic.
AGAIN, none of this will work if you haven't configured the correct ports and pins for your controller. This is covered in chapter 5 of the "Using MACH3 Mill" user guide. You will also need the manual for whatever motor controller you are using in order to configure the proper parallel port pins used for step and direction signals for all three axis.