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Disconnect the capacitor from the circuit it is part of. Read the capacitance value on the outside of the capacitor. Set your multimeter to its capacitance setting. Connect the multimeter leads to the capacitor terminals. Check the multimeter reading.
The unit for capacitance is the farad, which is abbreviated with a capital “F.” You may also see the Greek letter mu (µ), which looks like a lowercase “u” with a tail in front of it. (Because the farad is a large unit, most capacitors measure capacitance in microfarads; a microfarad is a millionth of a farad.)  Connect the positive (red) multimeter lead to the capacitor anode lead and the negative (black) lead to the capacitor cathode lead. (On most capacitors, especially electrolytic capacitors, the anode lead is longer than the cathode lead.) If the capacitance reading on the multimeter is close to the value printed on the capacitor itself, the capacitor is good. If it’s significantly less than the value printed on the capacitor, or zero, the capacitor is dead.