Put it on the diode tester selection, third one from the right. Little arrow looking symbol.
Check the numbers, should read high if it's good, or low to 0 If bad.
And here's a good informative link.
This post will cover some basic on LEDs and how to test an LED. LED is the acronym for Light-Emitting Diode, which is a semiconductor diode (a p-n junction) that emits light when positive current flows from the anode to the cathode of the LED. Anode is the + or positive side of the diode...
forum.digikey.com