By rewriting it the same way as Anne Bauval did we have that
$$u_n=\frac{2}{n+1}\sum_{j=1}^n\frac{1}{j}.$$
We use the definition of the limit to show that $u_n\to0$ as $n\to\infty$.
Let $\varepsilon>0$. Observe that if $j\geq\frac{4}{\varepsilon}$, then $\frac{1}{j}\leq\frac{\varepsilon}{4}$. Let $M$ by any integer greater than $\frac{4}{\varepsilon}$. Note that then
\begin{align*}
u_n
&=\frac{2}{n+1}\sum_{j=1}^M\frac{1}{j}+\frac{2}{n+1}\sum_{j=M+1}^n\frac{1}{j} \\
&\leq\frac{2}{n+1}\sum_{j=1}^M\frac{1}{j}+\frac{2}{n+1}\sum_{j=M+1}^n\frac{\varepsilon}{4} \\
&\leq\frac{2}{n+1}\sum_{j=1}^M\frac{1}{j}+\frac{\varepsilon}{2} \\
\end{align*}
for all $n\geq M$. Choose now $N>0$ such that
$$\frac{2}{n+1}\sum_{j=1}^M\frac{1}{j}<\frac{\varepsilon}{2}$$
for all $n\geq N$ (note that $M$ is fixed so this can be done). Then, for any $n\geq\max\{N,M\}$ we have, by combining our estimates, that
$$0\leq u_n\leq\frac{2}{n+1}\sum_{j=1}^M\frac{1}{j}+\frac{\varepsilon}{2}<\varepsilon$$
for all $n\geq\max\{N,M\}$. This proves that
$$\lim_{n\to\infty}u_n=0.$$