I am new to using a multimeter. Where would I check on the four pin?

Set it to ohms, less than 20,000, and touch the probe tips to the sensor contacts diagonally from each other. You should get roughly the same reading.

You're testing the sensor itself, not the connector.

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A.S.E Tech A1,A6,A7,A8 & MVAC 609 + EPA 608

Unless stated otherwise, any question I ask is about my greymarket 1985 380SEL.