I found WD40 to perform very well along with some scotch bright pads for any corrosion, or stains. A set of metric allen wrenches, metric wrenches, a soft face mallet, a couple of different files for cleaning up any burrs, and some screw drivers should get you going. The mill should have come with allen keys and wrenches for adjustments, but they are probably not very high quality. Taking the machine apart to clean is a great learning process and will familiarize you with the operation of the various assemblies. That way when something is not working right you will know whats happening. Congrats on the new machine and good luck.
All of this advice is based on the assumption that there is in fact a new machine. A final decision requires photographs of the machine cleaned up and in operation!