I don't think there's any easy way to find your blown bulb with a multimeter. I guess you could try removing one bulb (do this with the lights unplugged, BTW...I don't want to hear about your visit to the hospital in another thread later...), setting your multimeter to ohms and sticking one probe in the socket where you just removed a bulb. Then go over a few sockets, maybe 5-7, unplug another bulb and stick the other end of the multimeter in the socket. You oughta have continuity between those two points...if so, keep moving along 5-7 bulb sockets at a time until you reach a point where you don't have continuity. Then you know your open bulb is somewhere between the two multimeter leads.
Or just buy a new set of Christmas lights. That's what I'd do, I'd get too frustrated trying to fix a stupid set of lights.