It should be set to the 200 setting. What does the meter say when set to "200" with the probes touching nothing?
And just to confirm, you're doing this test with the diode removed from the board right?
1. Set the meter to the "200" setting (that sets the range of the multimeter to read up to 200ohms...ohms is a measure of electrical resistance...the higher the number displayed means the more resistance there is in the electrical path being measured)
2. Touch your probe tips together. What does the meter say? It should be a very low number, like 0.3 or something. That means very low resistance which you would expect if you are not measuring a part or a pathway, but just probe to probe.
3. Now let's measure the diode again. See how the diode has a black or silver band that is closer to one end of the part than the other? Put the + probe at that end and the - at the other. What does the meter say?
4. Now swap the probes (the - probe now at the end of the diode with the band, the + at the other end)...what does the meter say?
Diodes are like a one-way gate...they let current flow in one direction but not the other. So when you measure for resistance it should be very low in one direction, but very high in the other. With the meter set to "200", anything over 200ohms should display as open-circuit, no continuity, no connection...infinite resistance. The diode should read something less than 1ohm in one direction, but should appear as no continuity in the other direction with meter set to the "200" range.