Just look at the definition. $\Omega_n^O = 0$ means that every $n$-dimensional oriented compact manifold (without boundary) is the boundary of an $(n+1)$-dimensional oriented compact manifold ($0$ is the class of the empty set, so saying that every manifold is in the $0$ class means that every manifold is cobordant to the empty set, which exactly means that the manifold is the boundary of something).
For example, you know that every $1$-manifold is a union of circles. But each circle is the boundary of a disc, so they are zero in $\Omega_1^O$.
For $\Omega_2^O$, you can also use the fact that we know all the orientable $2$-manifolds (= surfaces) and we can prove by hand they are all boundaries of 3-manifolds (if you think of the genus-$g$ surface as sitting in $\mathbb R^3$, it is quite clear that it bounds something...)
For higher dimensions, the result is necessarily less elementary (the next easiest thing is probably the fact that the $\Omega^O_{4n} \neq 0$ for all $n$, which comes from a great invariant: the signature of a manifold) and the full story (the computation of $\Omega_n^O$) is one of the remarkable achievements of 20th-century topology, a tour de force due to René Thom, John Milnor, Sergeï Novikov and C.T.C. Wall.