There's 2 ways to do it....if you set it on AC Volts and don't read anything, the fuse is good (input impedance being 20K ohms or better on the DMM)...or put it on ohms and if the DMM starts smoking, the fuse is bad, since you just created a path...
Use your own judgement...but I prefer using AC
so many sotries, so little time
Like when our Physical Dimensional guy in MI wanted to help out in electronics, and he plugged the 400 cycle generator into a 60 cycle outlet...he got to replace the transformer...you can go from 60 to 400, but not 400 to 60 (AC impedance and vector analysis)...
Or my buddy who was wiring a house, and the carpenter came in and plugged his saw into the wall he's just wired, and it worked..someone had turned the electricity on to speed things up
Just take care, and know who you're working with.
Mike