I am suspecting this is worded awkwardly and the test is just across the fuse blades to check whether it is blown instead of the instructions reading "continuity test it". The 400 Ohm setting, with speaker icon next to it which should indicate it's continuity mode, would do that.
However many fuses have an opening in the back that exposes contacts on both ends of the active fused element in the fuse body, so you don't even need to pull them out. If the circuit is supposed to be live you can just put one meter probe on any chassis ground point and the other meter probe on both sides (on either side, one after the other in turn) of the fuse through those openings on top. It should read around 12.6V on both sides.
If only one side reads that, the fuse is blown. If you don't get voltage on either side, the test is inconclusive, then you only know the circuit isn't live, not whether the fuse is good.
This also assumes your meter probes have tips small enough to fit in the fuse openings, and the fuse box is located where it's practical to do this instead of awkward and thus easier to just pull the fuse out.