How to test power supply under a load?

bratan:
Thanks! I measured it under load (actually wired to finished project), and it's strange but I'm not getting above 4.5V output when I'm using 5V input supply. No matter how far I adjusted it. Is it expected? It's rated for 4-35V, but maybe I'm hoping for too much here It has no problem giving 5V out with 6VDC and higher supply...

So it's a voltage booster...?

If you want good answers you could start out by saying what you're doing/using. So far everybody has assumed a switch-mode power supply with an adjustment screw.