Set it to check resistance (mine has a setting for continuity -- the meter beeps when the circuit is complete) and put the test leads across the bulb connections.
A phone connector or jack plug in the rear of the unit permits a set of test leads to be plugged in effecting a quick conversion between the two applications.
Some laboratory quality ohmmeters, especially milliohmmeters, and even some of the better digital multimeters sense using four input terminals for this purpose, which may be used with special test leads.