By definition of subset, for any two sets $A,B$, we have $A \subseteq B$ if and only if
$$\forall x[x \in A \to x \in B]$$
Thus, we show $A \nsubseteq B$ by taking the negation of said formula
$
\begin{array}{11}
\neg \forall x[x \in A \to x \in B] & \\
\exists x \neg [x \in A \to x \in B] & \text{Negation Rules for Quantifiers} \\
\exists x \neg [\neg (x \in A) \vee x \in B] & \text{Implication Rule}\\
\exists x [\neg\neg (x \in A) \wedge \neg (x \in B)] & \text{DeMorgan's Law}\\
\exists x [x \in A \wedge \neg (x \in B)] & \text{Double Negation Elimination}\\
\exists x [x \in A \wedge x \notin B] & \text{Definition of $\notin$}\\
\end{array}
$
Thus, in order to show $\emptyset \nsubseteq S$ for every set $S$, you must prove
$$ \exists x [x \in \emptyset \wedge x \notin S] $$
for some arbitrary $S$. Of course, the first conjunct $x \in \emptyset$ is always false, so the formula is always false.