For this test, you'd need to set your DMM to read DC Volts. If you power the game up with the fuse removed, you should measure a voltage (I don't know what it will be, but more than 0 Volts) across the fuse clips.
On a fuse that is in place and working correctly, you would measure 0 Volts across it (the fuse creates a short--or 0 Volts, allowing current to flow thru it).
You could try this on another fuse that you know is working, just to see how it works.
Be really careful not to touch the leads to anything else, so you don't cause any other problems.