Use the ohms setting. Put one probe in the socket, other on the blade, you should read continuity (low ohms). Note you may have to switch one end to get correct wire/side of cord.
Now do the same with the other two connections.
One last check, put both probes in opposite sockets (opposing sockets where two blades of plug would fit), there should be NO continuity (high ohms).
You have now checked everything but for bare wires, do a visual for that.