What we've pretty much concluded, since the Enlightenment (18th century) was that you need to practice skepticism, in order to actually gain knowledge. If truths are simply up for grabs (faith, dogma, etc), then we really have no way of saying "okay, which truth is THE truth then?".
One way to look at it, is that there's a shit load of potential explanations for everything. The reason why the light turns on in my refrigerator is that there's tiny people that live in there and flip a switch. Maybe there is an portal in my closet, that just happens to disappear when I open the door.
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Point is, is that we need to simply say "No" to an explanation or possibility, before evidence is provided.
http://en.wikipedia.org/wiki/Scientific_skepticism
There's a few assumption we need to make though. I assume that I exist, that this reality exists, that this reality is stable and constant (the rules of the world don't just change every second), and that my conscious experience is a reliable reflection of that reality.
Then, I can start observing patterns in the world. For example, I can drop an apple and then a bowling ball, over and over again, and see that they fall at the same speed. Once I've done this enough, and other people do this enough, we safe "Okay, we're pretty sure that stuff falls when you let go of it". You can then start measuring how long it takes for objects to fall, and express it as an equation. Then you can use that equation, to start making prediction for huge objects. Maybe if you have the resources, you'll even try to push a boulder off a cliff or something, and see if that model still works. That's a really, really rough and dirty explanation of how we try to gain knowledge.
There's 3 more things I want to emphasize. We call what I described as gravity, but we don't really say that "Things get attracted to each other, BECAUSE of gravity". Gravity is simply a phenomenon, an event. It's something that we simply observe happening over and over again. Nobody ever explains "WHY things fall to the ground". And you really can't, and explanations that claim to do so shouldn't be accepted (because there's no proof).
http://en.wikipedia.org/wiki/The_best_of_all_possible_worlds
Science also can't explain anything SUPERnatural. The very concept itself makes it impossible. You observe things in the natural world, to try to understand the natural world. SUPERnatural things are outside of our nature. We can't observe them (if we can, it's not supernatural), we can't measure them, etc. If you sort of envision our natural reality as a bubble, and the supernatural as another bubble outside it (think the ending in Men in Black) who knows what's going on out there. Maybe there's pink unicorns shitting ice cream out there. Maybe there's an utopia out there. Maybe. But there's absolutely no proof of any of those possibilities as being true. Anything's possible out in the supernatural (since we don't know what rules and restrictions that reality has). And because we have no evidence or anything, there's no method to start slashing some of those options. In short, that means we have no method to gain knowledge about the supernatural (if such things even exist).
Think of gaining knowledge as an criminal trial. We ASSUME innocent until proven guilty. Until there's enough evidence, we simply don't accept (but we DON'T REJECT) the proposal (guilt).