To test a fuse you are checking for continuity, i.e. has the fuse blown. To do this you need your multimeter set to measure resistance in the lowest range possible, in ohms of course. Some multimeters autorange so just setting it to resistance is all you need to do. Some older ones may need you to select the range in ohms. Just select the lowest.
First touch your probes together and the meter should show 0 ohms or as near as possible. This just to test your meter is wet up ok and the battery is good. Next touch your probes to opposite ends of the fuses and if you get a low reading, the fuse is good. If you get an infinite reading, the fuse is blown. Best practice is to remove the fuse to test it and place it on a non conductive surface. Don't test whilst holding the fuse in your hand as the human body conducts electricity.