you need a multimeter that is able to measure capacitors. Or you can buy a meter specificly made for capicitors.
the multimeter needs to have a range high enough, i.e. if you want to check a cap that has a value of 20uf then you need a multimeter that has a range higher than 20uf.
you need to have the cap out of circuit and make sure you have discharged it. I use a globe to discharge the ones i test if they are a high value but the lower value ones can be discharged with a screwdriver.
when you hook it up to the multimeter make sure you are not touching the pins or leads on the cap or meter as this will give you a false reading.
make sure you polarise it properly, I.E. red lead to + and black to -
then before putting the cap back in circuit discharge it again.