Hopefully you bought a digital one, much easier to read than the old analogue ones I grew up with. (Okay, when I was REALLY young we still measured things in pounds per square inch of steam and bushels of hay, but horse-drawn steam guitars are pretty rare these days, so...)
The settings you will use most, on guitars anyway, will be the ohms settings. The ohms symbol is the Greek omega symbol, Google it, kind of like an upside down u or a right way up w.
The 20k range is good for checking pickups. Their impedance is typically in the 5 to 15k ohms range.
You'll need the highest one on there (probably) for checking pots. Pots have impedance starting, typically, at 250k ohms, going up to 1meg (1000k) ohms.
Often the lowest one comes with a buzzer or beeper which sounds when you touch the two probes together. This is really useful for checking for continuity on solder joints, for example.
