Touch each probe to one of the terminals (or poles) of the device. If the reading changes to zero the device has continuity. To test a switch, place a probe on each pole of the switch. When you move the switch from the off to the on position, the meter reading should change from infinity to roughly zero, which implies that the switch is working. To test a component such as a motor, touch a probe to each pole. A reading of roughly zero indicates that motor has continuity and current can pass through it.
You can also use a continuity tester, which is a less expensive more basic device, to conduct this test. As above, touch one probe to each terminal. If the device has continuity, the tester will light up.