[stevehertz]

Firstly, when checking the resistance of any component it is best if it is out of circuit. So for a normal, two leaded component such as a resistor or a capacitor, one end (only) of the part needs to be disconnected from the circuitry. For checking resistors, set your meter to measure an 'Ohms' scale and apply your test leads to each end of the resistor then adjust the range knob on the meter until a reading is seen - preferably around mid scale - but try to avoid readings at the extreme ends of the scale as you'll have trouble making an accurate reading.

For 'middling' caps of around 0.1uF set the scale to read its highest resistance values and fix your eye on the needle (digital meters are not so good for seeing this effect) and at the point of contact of the leads to the cap you should see a slight movement or 'kick' of the needle after which the resistance should be infinitely high. If a resistance is measured in this 'steady state' (after the kick) then the cap is leaky and generally needs replacing. For lower value caps such as pF range mica ones, you will not see this slight movement of the needle but the resistance should still be infinite. For electrolytic caps put your negative meter lead to the positive connection of the cap and the positive lead to the negative cap connection and - like in the first example - you should see (a more positive and obvious) movement of the needle, then the needle should move the other way towards infinity as it becomes charged. For higher value caps - say of 4uf upwards - this movement will be quite slow and very 'viewable'. Depending on the age and/or the charged state of the electrolytic cap the resistance should settle at infinity or several megohms.