Is it an analog meter or digital? Analog has a swinging needle, digital has numeric readout.
It should have a settings dial regardless. One of the "ranges" should be DCV or simply DC, and within that range will be (probably) a 20v setting. That means it will measure up to 20 volts DC. As long as the setting you use is above 12 volts and is for measuring direct current (DC), it will work. You use the positive (red) lead to probe the connections, with the negative (black) lead firmly attached to a GOOD ground. If it's an analog meter and you accidentally get the lead reversed, the needle will swing backwards and you won't know what the voltage reads. A digital meter will show a minus (-) sign but will still read the voltage, either forward or back. Turn the key to the run position, turn the light switch on (turn signal, headlight, whatever it is you are trying to check) with the bulb disconnected. Probe the bulb contact with the red lead, but BE CAREFUL to not short the lead to the ground or you'll blow the fuse to that circuit. If you get 12 volts showing at that contact but the bulb won't work, it's either the bulb that's bad or the ground connection for that bulb is bad.
BMWs have a gazillion ground connections. If you see a bundle of brown wires you can bet they end in ring terminal connections and they're bolted to the chassis or engine block somewhere. All it takes is for one to lose connections to create all kinds of weird lighting and/or running problems.