Hard to say what you're doing wrong, even if it is quite simple to measure an LDR
Are you sure it's an LDR you're measuring?
Are you perhaps shortening the wires somewhere?
Are you sure the probes are connected in the right sockets on the multimeter?
The difference in resistance of an LDR is very large from dark to light, so if regular resistors measure OK, it's either shorted wires or a broken pin.
What does it measure - high Ohms or low Ohms?