good way to test your LED is to get a AA battery, tape a little wire onto each side, and touch the contacts accordingly with polarity. If it lights up, youre good to go. if it doesnt even when you touch the contacts to both sides (switching the leads that you touch with the wires), you have a bad LED. Make sure you test the AA battery too. It should be giving about 1.5 volts. Set your DMM to the 2v range and test for voltage.
Hope this helped