Many multimeters have a setting where they'll beep if you touch the two probes together (or if there's nothing but wire between them, i.e. an electrical short). Use that setting. If yours doesn't have it, use the ohms setting (Ω) instead. Tap the probes together to see what a short looks like.

Make sure the power is disconnected first or you'll brick your multimeter (or best case blow a safety fuse inside it).