You are looking for a break in the wires, this will be indicated by a lack of continuity or a high resistance.
Resistance is measured in Ohms and is symbolised by the greek letter Omega
On this cheap multimeter (below) there are a selection of settings for resistance, you would want to set the multimeter to the lowest of these scales (200 in this case). The meter will then read a resistance value between 0- 200 Ohms).
With the leads not connected to anything you will have a high off-scale reading (you would also expect to see this if a wire was completely broken).
With the leads shorted to each other you will probably see about 0.2 Ohms (this is the resistance of your test leads and should be subtracted from any tests you do), if this reads 0 then your multi-meter is not capable of resolving the level of detail needed to show truly low resistance values.
To test a cable you will need to connect the multi-meter to each end of the cable at the same time, the easiest way to do this was described by fruit-uk.
check the resistance of each wire in the cable in turn, they should each be very vow.
don't check resistance while voltage is present, your multi-meter wont like it.
Doug.
Building Management Systems Engineer.