You want to verify that proper voltage is getting to the headlight bulb. Unplug the headlight connector from the bulb- you don't need to remove the bulb from the reflector.
Set your voltmeter for Volts DC- it may have a symbol like "- - -" on the selector switch. If the meter has different ranges, set it for 20V. Most new ones are auto-ranging, so there is no selection.
Connect the black wire to "COM" or "-" plug in the meter, and the red lead to "+" or "VOLTS" plug in the meter. There may be another one labeled "mA" or "A" - don't use that plug for this.

Hold the black lead to the battery "-" or a clean metal point on the car body somewhere. Touch the red lead to each pin in the headlight socket. You should find 12V on one pin when on low beams, and another pin on high beams. If 12V is present but the light doesn't work, you may not be getting a good ground connection. Ground wires for the lights are screwed to the inside front fender, (hidden behind the washer fluid reservoir on the right side of the car).
It's a black wire with a fairly large bolt holding it down.

Good luck!
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Rob Bareiss, New London CT ::: '87 244DL/M46- 220K, 87 244DL- 230K, 88 744GLE- 198K, 91 244 180K, 88 244GL 145K