With the DMM on the diode scale, you should place the negative lead (black lead) on the + lead of the bridge - that is where two cathodes are connected. Then place the red lead on one of the AC leads of the bridge (may be marked with a sinewave) - you should see the forward voltage drop of the diode, anywhere from 0.45V-0.7V. Then move the red lead from your DMM to the other AC lead on the bridge rectifier - and look for the same.
To test the other two diodes, place the red lead of your DMM on the negative lead (-) of the bridge - two Anodes are connected there. Then, alternate between the two AC leads of the bridge, again looking for the 0.45-0.7V voltage drop across the diodes. Any lower than 0.45V reading,and you've got a shorted diode in the bridge.
Youtube?
https://www.youtube.com/watch?v=50Cwo3Of288
Hope this helps...