It comes from the Latin word "mille" meaning "thousand". Here are some examples:
* millimeter: one thousandth of a meter
* millisecond: one thousandth of a second
* milligram: one thousandth of a gram
* millennium: a period of one thousand years
Note: There are some instances where "mill" might have a different meaning, such as in "millennium", but it's always related to the concept of "thousand".