Hi,
Put 5Volts across the LED and a series current limiting resistor of around 470 or 680 omhs, the value of the resistor is not vital provided that its low enough for the LED to light and high enough to stop it from burning out, the suggested values are good for a 5 volts supply.
The values specified will give us around 10ma of current through the LED.
I = V/R
.010 = 5/500
Now measure the voltage across the LED with your volt meter, thats the forward voltage drop. It will vary slightly across a batch of LEDs, It will vary a lot between different colour LEDs.
Here is a great resource that will tell you much more about LEDs than I can -
http://www.thebox.myzen.co.uk/Tutorial/LEDs.html
Duane B