I wish someone like Toke, or daquin, would jump in on this one, But, Ibelieve,,,,
You need to use the lowest Ohm value if you have a selection on your dmm, the idea is low current. Higher range selection lets the meter supply more current. If it is auto ranging, I would suggest the Ohms setting, NOT the Diode Check setting as that usually reads in KOhms.
From what little I know on the subject, it appears that most all TO-5 cased LD's (5.56mm TO can case) share a common trait: looking at the back of the diode can, you will see two or three pins and a V notch. with the V notch at three o'clock, Pin 1 is at the top at 12 o'clock and is always positive, if it is a two pin case, it is likely an IR, the pin at the bottom is pin 2 and obviously negative. If it is a three pin case: the pin on the right at 3 o'clock is connected to the case ( for red LD's this is the negative pin, for blue it is not connected to the diode chip. The pin at the bottom at 6 0'clock is not connected or the photodiode monitor anode for red LD's, or the LD negative for Blues.
DMM set to ohms low scale, red lead on the posiitive pin (pin 1 at the top), black lead (common) connected to negative will read low ohms, connected to non-connected pin will read infinity, over range (usually a flashing one, "1"). Once you get a non over range reading, reverse the leads and you should get a High Ohms reading (this is where it may get dangerous for the LD (aside from the associated ESD problems) as your DMM might exceed the LD's max inverse voltage in trying to read the high resistance of the reverse biased diode, or you could also get avalanche current and damage the LD). Once you know what is + and what is -, hook up a variable current source starting at around 15-20 mA and SLOWLY crank up the current until you hopefully get a lase (instead of a smoke signal or cracked diode). This has worked for me without too much in blown diodes. DO NOT LOOK DIRECTLY INTO THE DIODE WINDOW TO DETERMINE IF IT IS GLOWING, let it shine on a piece of paper or something similar.