I assume the meter also has specific settings for current with the lead positions - if so, make sure the wires are plugged into the correct places.

Measuring volts, or ohms, you might need to move the wires.

A tiny bit of meter theory:

Measuring volts, the electricity doesn't flow through the meter - it's an open circuit.
Measuring amps, it does flow through, so it's a short circuit.
Measuring ohms, it needs a little power to measure the voltage drop, so it ADDS current.

As long as you know what you're trying to measure, you can just read the face of the meter to set it up. Sometimes it's useful to get a sanity check by measuring a known quantity; e.g. "am I using this right? Is it measuring correctly, or at least what I'm looking for?"