I'm not even remotely an expert, but here's how I check them:
Diodes - put multimeter in diode check mode. It should show the voltage drop when leads are attached in correct polarity (usually 0.3V to 0.6V) and nothing (open) with leads reversed. If open both directions, diode is bad (open). If 0V both directions, diode is bad (shorted). If you find a bad diode, pull one leg and retest to confirm it's the diode and not something else in the circuit.
Resistors - Put multimeter in Ohms mode. Reading should match resistor bands. However, resistors often measure lower ohms than their bands if they are placed parallel in a circuit, so just because the reading doesn't match, doesn't mean the resistor is bad. In my experience, they are seldom bad if not discolored/burned (although there is such a thing as a fusible resistor that can go open without any visible indications). I have never seen a shorted resistor in my life, so typically if the resistance measured is near what the bands say they should be or LOWER, the resistor is okay. If the resistance is significantly higher, the resistor is probably open. If you want to be 100% sure, you can desolder one leg of the resistor and test it that way.
Capacitors - Put multimeter in Ohms mode. Capacitor should start with low ohms and start to rise as the capacitor charges. It could be 0-ohms (shorted) or read nothing (open). A multimeter is not really a very good tool to use to check capacitors though, as the capacitor could be bad, but still exhibit normal looking behavior on a multimeter. Usually you want to use an ESR Meter to check capacitors. If electrolytics are swollen or leaking, then no reason to check it, it's bad.
Diodes - put multimeter in diode check mode. It should show the voltage drop when leads are attached in correct polarity (usually 0.3V to 0.6V) and nothing (open) with leads reversed. If open both directions, diode is bad (open). If 0V both directions, diode is bad (shorted). If you find a bad diode, pull one leg and retest to confirm it's the diode and not something else in the circuit.
Resistors - Put multimeter in Ohms mode. Reading should match resistor bands. However, resistors often measure lower ohms than their bands if they are placed parallel in a circuit, so just because the reading doesn't match, doesn't mean the resistor is bad. In my experience, they are seldom bad if not discolored/burned (although there is such a thing as a fusible resistor that can go open without any visible indications). I have never seen a shorted resistor in my life, so typically if the resistance measured is near what the bands say they should be or LOWER, the resistor is okay. If the resistance is significantly higher, the resistor is probably open. If you want to be 100% sure, you can desolder one leg of the resistor and test it that way.
Capacitors - Put multimeter in Ohms mode. Capacitor should start with low ohms and start to rise as the capacitor charges. It could be 0-ohms (shorted) or read nothing (open). A multimeter is not really a very good tool to use to check capacitors though, as the capacitor could be bad, but still exhibit normal looking behavior on a multimeter. Usually you want to use an ESR Meter to check capacitors. If electrolytics are swollen or leaking, then no reason to check it, it's bad.