You show that each $x\in\mathbb R$ is not an element of your set.
So, you take an arbitrary $x\in\mathbb R$, and you show that $x\notin \bigcap_{n\in\mathbb N}(0,\frac1n]$.
Hint:
$$x\notin \bigcap_{i\in I} A_i\iff \exists i\in I: x\notin A_i$$
This means that in your case, you have to prove the statement
For all $x\in \mathbb R$, there exists some $n$ such that $x\notin (0,\frac1n]$.
This claim is obviously true for all negative numbers, all for numbers greater than $1$ and for $0$, and it shouldn't be hard to prove the claim for positive numbers between $0$ and $1$, either.